Funding, repo and credit inclusive valuation as modified option pricing
D. Brigo, C. Buescu, M. Rutkowski
| Year of publication: |
November 2017
|
|---|---|
| Authors: | Brigo, Damiano ; Buescu, C. ; Rutkowski, Marek |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 45.2017, 6, p. 665-670
|
| Subject: | Funding costs | Counterparty risk | Credit risk | Repo market | Valuation adjustments | Hedging | Kreditrisiko | Repo-Geschäft | Repo transactions | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Kreditsicherung | Collateral |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2017.10.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011783094