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A BSDE approach to fair bilateral pricing under endogenous collateralization · Study

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ArticleA BSDE approach to fair bilateral pricing under endogenous collateralization

Tianyang Nie2016

Article2016

A BSDE approach to fair bilateral pricing under endogenous collateralization

Tianyang Nie · Marek Rutkowski

24 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1997Backward Stochastic Differential Equations in Finance 1993Hedging Contingent Claims with Constrained Portfolios 1996On the pricing of contingent claims under constraints 2010Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs 2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA 2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING 1998Hedging American contingent claims with constrained portfolios 1995Option Pricing with Differential Interest Rates

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2016Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects

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Details

Year2016

Typearticle

Published2016-07-18

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-016-0306-2

openalex_workW1585255789

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