Bergman, Piterbarg, and beyond: pricing derivatives under collateralization and differential rates (Q3464672)
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scientific article; zbMATH DE number 6536319
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| English | Bergman, Piterbarg, and beyond: pricing derivatives under collateralization and differential rates |
scientific article; zbMATH DE number 6536319 |
Statements
Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates (English)
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27 January 2016
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derivatives
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collateralization
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differential rates
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funding, nonlinear pricing
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Black-Scholes
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binomial model
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0.7884423136711121
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0.7879568338394165
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0.783778727054596
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0.773420512676239
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0.7731156945228577
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