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ArticlePricing derivatives with counterparty risk and collateralization: A fixed point approach

Jinbeom Kim2015

Article2015

Pricing derivatives with counterparty risk and collateralization: A fixed point approach

Jinbeom Kim · Tim Leung

18 citations·0/0 files stored·European Journal of Operational Research

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Stochastic processes and financial applications Credit Risk and Financial Regulations Risk and Portfolio Optimization

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References

1976Option pricing when underlying stock returns are discontinuous 1995The Mathematics of Financial Derivatives 2003Credit Derivatives Pricing Models 1998Pricing the risks of default 2006A jump to default extended CEV model: an application of Bessel processes 2010Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs 2009COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION 2012ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

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2011Exact Sampling of Jump-Diffusionspreprint · 5 shared references 2009CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISKarticle · 4 shared references 2013Exact Sampling of Jump Diffusionsarticle · 4 shared references 2007An Integrated Model for Hybrid Securitiesarticle · 4 shared references 2015Pricing and static hedging of American-style knock-in options on defaultable stocksarticle · 4 shared references 2007Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computationbook · 3 shared references

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Year2015

Typearticle

Published2015-07-10

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.ejor.2015.06.055

openalex_workW3121846808

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