SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION

DOI10.1142/S0219024922500273MaRDI QIDQ5048585zbMATH OpenOpenAlexFDO

Authors Griselda Deelstra, Lech A. Grzelak, Felix Wolf

Publication date 16 November 2022

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2207.10373

zbMATH Keywords

cheapest-to-deliver collateralcollateral choice optionCSAcurrency spreadsminimal-variance hedgingstatic hedging

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Cheapest-to-deliver collateral: a common factor approach
• Interest rate models -- theory and practice. With smile, inflation and credit
• Mathematical modeling and computation in finance. With exercises and Python and MATLAB computer codes
• Valuation and hedging of contracts with funding costs and collateralization

Cited in

(2)

• Pricing and hedging vulnerable option with funding costs and collateral
• Cheapest-to-deliver collateral: a common factor approach

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