Pricing Bermudan Callable Derivatives with Default, Collateral Margining, Funding and Investment Costs
Year of publication: |
2012
|
---|---|
Authors: | Amin, Ahsan |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Kreditsicherung | Collateral | Kreditrisiko | Credit risk |
Extent: | 1 Online-Ressource (25 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 16, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.2060804 [DOI] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
Fujii, Masaaki, (2011)
-
Sakurai, Yuji, (2013)
-
Lou, Wujiang, (2020)
- More ...
-
Calibration, simulation and hedging in a Heston libor market model with stochastic basis
Amin, Ahsan, (2013)
-
Hybrid Equity, FX, and Interest Rate Models with Stochastic Volatility and Jump Diffusion
Amin, Ahsan, (2011)
-
Calibration, Simulation and Hedging in a Heston Libor Market Model with Stochastic Basis
Amin, Ahsan, (2010)
- More ...