Fair bilateral prices in Bergman's model with exogenous collateralization (Q3460683)
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scientific article; zbMATH DE number 6527660
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| English | Fair bilateral prices in Bergman's model with exogenous collateralization |
scientific article; zbMATH DE number 6527660 |
Statements
FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION (English)
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8 January 2016
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hedging
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fair prices
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borrowing rate
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lending rate
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margin agreement
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BSDE
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0.9176896214485168
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0.9015436172485352
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0.8834872841835022
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0.7879568338394165
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0.7789429426193237
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