Derivative pricing with collateralization and FX market dislocations (Q5367501)
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scientific article; zbMATH DE number 6790991
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| English | Derivative pricing with collateralization and FX market dislocations |
scientific article; zbMATH DE number 6790991 |
Statements
DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS (English)
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13 October 2017
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arbitrage-free pricing
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collateral
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funding costs
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foreign exchange market
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curve bootstrapping
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multiple currencies
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0.8002856969833374
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0.7689542770385742
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0.7544708847999573
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0.7458882331848145
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0.7391510605812073
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