The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs
Year of publication: |
2014
|
---|---|
Authors: | Hunzinger, Chadd B. ; Labuschagne, Coenraad C.A. |
Published in: |
The North American Journal of Economics and Finance. - Elsevier, ISSN 1062-9408. - Vol. 29.2014, C, p. 200-217
|
Publisher: |
Elsevier |
Subject: | Tree model | Burgard and Kjaer model | Credit risky derivative | Cox | Ross and Rubinstein model | CVA | DVA | FVA |
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