Pricing and hedging vulnerable option with funding costs and collateral
DOI10.1016/J.CHAOS.2018.04.042zbMATH Open1395.91446OpenAlexW2801083120WikidataQ129866913 ScholiaQ129866913MaRDI QIDQ1663930FDOQ1663930
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
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collateralbackward stochastic differential equationslocal volatilityEuropean vulnerable optionfunding spreads
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)
Cites Work
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
- Backward Stochastic Differential Equations in Finance
- A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs
- Adapted solution of a backward stochastic differential equation
- On Cox processes and credit risky securities
- Valuation and Hedging of Contracts with Funding Costs and Collateralization
- ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
- BSDEs of counterparty risk
- Arbitrage‐free XVA
- Contingent claim valuation in a market with different interest rates
- Asymptotics of implied volatility in local volatility models
- BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
- BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
- CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
- A closed form solution for vulnerable options with Heston's stochastic volatility
- Analytical pricing of vulnerable options under a generalized jump-diffusion model
- Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
- Nonlinearity Valuation Adjustment
- BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs
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