In this paper, valuation of a derivative partially collateralized in a specific foreign currency defined in its credit support annex traded between default-free counterparties is studied. Two pricing approaches -- by hedging and by expectation -- are presented to obtain the same valuation...

This is a revised version of our published paper Han et al. (2014). In this paper, valuation of a derivative, which is traded between default-free counterparties, partially collateralized in another specific (foreign) currency and funding in a third specific currency is studied. Replication...