A BSDE with delayed generator approach to pricing under counterparty risk and collateralization (Q507677)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A BSDE with delayed generator approach to pricing under counterparty risk and collateralization |
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A BSDE with delayed generator approach to pricing under counterparty risk and collateralization (English)
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7 February 2017
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Summary: We consider a nonlinear pricing problem that takes into account credit risk and funding issues. The aforementioned problem is formulated as a stochastic forward-backward system with delay, both in the forward and in the backward component, whose solution is characterized in terms of viscosity solution to a suitable type of \textit{path-dependent PDE}.
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BSDE
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counterparty risk
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nonlinear pricing problem
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credit risk
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stochastic forward-backward system
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viscosity solution
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path-dependent PDE
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