Pricing and hedging vulnerable option with funding costs and collateral (Q1663930)
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scientific article; zbMATH DE number 6924716
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing and hedging vulnerable option with funding costs and collateral |
scientific article; zbMATH DE number 6924716 |
Statements
Pricing and hedging vulnerable option with funding costs and collateral (English)
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24 August 2018
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European vulnerable option
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funding spreads
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collateral
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local volatility
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backward stochastic differential equations
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0.8875356
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0.88745975
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0.8813892
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0.8810706
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0.8771824
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0.8730874
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