Pricing derivatives with counterparty risk and collateralization : a fixed point approach
Jinbeom Kim, Tim Leung (Industrial Engineering and Operations Research Department, Columbia University, New York, United States)
| Year of publication: |
2016
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|---|---|
| Authors: | Kim, Jinbeom ; Leung, Tim |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 249.2016, 2 (1.3.), p. 525-539
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| Subject: | Bilateral counterparty risk | Collateralization | Credit valuation adjustment | Fixed point method Contraction mapping | Kreditrisiko | Credit risk | Derivat | Derivative | Kreditsicherung | Collateral | Optionspreistheorie | Option pricing theory | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.06.055 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011436733