BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
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Publication:5175221
DOI10.1111/mafi.12004zbMath1314.91207OpenAlexW1886460142MaRDI QIDQ5175221
Publication date: 20 February 2015
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12004
backward stochastic differential equationarbitragecounterparty riskfunding costsnonlinear pricing and hedging
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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