Pricing derivatives with counterparty risk and collateralization: a fixed point approach (Q320989)
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scientific article; zbMATH DE number 6635795
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| English | Pricing derivatives with counterparty risk and collateralization: a fixed point approach |
scientific article; zbMATH DE number 6635795 |
Statements
Pricing derivatives with counterparty risk and collateralization: a fixed point approach (English)
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7 October 2016
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bilateral counterparty risk
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collateralization
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credit valuation adjustment
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fixed point method contraction mapping
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0.8295160531997681
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0.810407280921936
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0.8061970472335815
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0.8050087690353394
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0.7968001961708069
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