Nonlinear valuation under credit, funding, and margins : existence, uniqueness, invariance, and disentanglement
Damiano Brigo, Marco Francischello, Andrea Pallavicini
| Year of publication: |
2019
|
|---|---|
| Authors: | Brigo, Damiano ; Francischello, Marco ; Pallavicini, Andrea |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 274.2019, 2 (16.4.), p. 788-805
|
| Subject: | Pricing | Valuation adjustments | Backward stochastic differential Equations | Funding costs | Nonlinear valuation | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis | Nichtlineare Regression | Nonlinear regression |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2018.10.046 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011990226