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A simple two-period model for option pricing with market imperfections

Mercurio, Fabio - In: PhD research bulletin / Tinbergen Institute 9 (1997) 1, pp. 39-48

Persistent link: https://www.econbiz.de/10001220781

Claim pricing and hedging under market imperfections

Mercurio, Fabio - 1996

Persistent link: https://www.econbiz.de/10000956322

Consistent pricing and hedging of an FX options book

Bisesti, Lorenzo; Castagna, Antonio; Mercurio, Fabio - In: The Kyoto economic review 74 (2005) 1, pp. 65-83

Persistent link: https://www.econbiz.de/10003379596

Option pricing with hedging at fixed trading dates

Mercurio, Fabio - In: Applied mathematical finance 3 (1996) 2, pp. 135-158

Persistent link: https://www.econbiz.de/10001219285

Option pricing with hedging at fixed trading dates

Mercurio, Fabio; Vorst, Ton - 1997

Persistent link: https://www.econbiz.de/10000969030

Option pricing for jump diffusions : approximations and their interpretation

Mercurio, Fabio - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 191-200

Persistent link: https://www.econbiz.de/10001333345

A note on the self-financing condition for funding, collateral and discounting

Brigo, Damiano; Buescu, Cristin; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10011403214

Funding, Collateral and Hedging : Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments

Pallavicini, Andrea - 2012

The main result of this paper is a collateralized counterparty valuation adjusted pricing equation, which allows to price a deal while taking into account credit and debit valuation adjustments (CVA, DVA) along with margining and funding costs, all in a consistent way. Funding risk breaks the...

Persistent link: https://www.econbiz.de/10013099370

Funding, repo and credit inclusive valuation as modified option pricing

Brigo, Damiano; Buescu, C.; Rutkowski, Marek - In: Operations research letters 45 (2017) 6, pp. 665-670

Persistent link: https://www.econbiz.de/10011783094