Hunzinger, Chadd B.; Labuschagne, Coenraad C. A. - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 17-42
The 2008 credit crisis changed the manner in which derivative trades are conducted. One of these changes is the posting …. In this paper, we extend the Cox, Ross and Rubinstein (CRR) discrete-time model to include collateral and FVA. We prove …