Funding, repo and credit inclusive valuation as modified option pricing (Q1728382)
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scientific article; zbMATH DE number 7027825
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Funding, repo and credit inclusive valuation as modified option pricing |
scientific article; zbMATH DE number 7027825 |
Statements
Funding, repo and credit inclusive valuation as modified option pricing (English)
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22 February 2019
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funding costs
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counterparty risk
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credit risk
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repo market
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valuation adjustments
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hedging
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0.775685727596283
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0.7695639729499817
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0.7536858320236206
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0.7453398108482361
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