Pricing and hedging vulnerable option with funding costs and collateral

DOI10.1016/J.CHAOS.2018.04.042MaRDI QIDQ1663930zbMATHOpenAlexWikidataFDO

Authors Xingyu Han

Publication date 24 August 2018

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2018.04.042

zbMATH Keywords

collateralbackward stochastic differential equationslocal volatilityEuropean vulnerable optionfunding spreads

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

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Cites work

• A Fourier cosine method for an efficient computation of solutions to BSDEs
• A closed form solution for vulnerable options with Heston's stochastic volatility
• Adapted solution of a backward stochastic differential equation
• Analysis of nonlinear valuation equations under credit and funding effects
• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• Arbitrage-free XVA
• Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
• Asymptotics of implied volatility in local volatility models
• BSDEs driven by multidimensional martingales and their applications to markets with funding costs
• BSDEs of counterparty risk
• Backward Stochastic Differential Equations in Finance
• Bilateral counterparty risk under funding constraints. I: Pricing
• Bilateral counterparty risk under funding constraints. II: CVA
• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
• Contingent claim valuation in a market with different interest rates
• Nonlinearity valuation adjustment. Nonlinear valuation under collateralization, credit risk, and funding costs
• Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
• On Cox processes and credit risky securities
• Valuation and hedging of contracts with funding costs and collateralization

Cited in

(1)

• Two frameworks for pricing defaultable derivatives

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