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Liquidity effect in OTC options markets : premium or discount?
Deuskar, Prachi; Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of financial markets 14 (2011) 1, pp. 127-160
Persistent link: https://www.econbiz.de/10009267085
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Counterparty credit risk and American options
Klein, Peter; Yang, Jun - In: The journal of derivatives : the official publication … 20 (2013) 4, pp. 7-21
Persistent link: https://www.econbiz.de/10009760552
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Energy options 101
Miller, Nedia - In: The professional risk managers' guide to the energy market, (pp. 231-243). 2008
Persistent link: https://www.econbiz.de/10003678251
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Rehypothecation Dilemma : Impact of Collateral Rehypothecation on Derivative Prices Under Bilateral Counterparty Credit Risk
Sakurai, Yuji - 2013
-the-counter (OTC) derivatives markets. Although rehypothecation benefits the end user through cost reduction of derivative trades, it … suddenly defaults. To evaluate the benefits and risks of rehypothecation, we propose a derivative pricing framework with … of derivative trades: two different types of collateral, the time delay of collateral posting and the rating …
Persistent link: https://www.econbiz.de/10013090345
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Counterparty Credit Risk and American Options
Klein, Peter - 2019
This paper analyzes the effect of counterparty credit risk on optimal early exercise policy and value of American options. In contrast with the existing literature we find that the price of the underlying asset at which it is optimal to exercise an American option can be significantly different...
Persistent link: https://www.econbiz.de/10012906086
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Model risk in the over-the-counter market
Lazar, Emese; Qi, Shuyuan - In: European journal of operational research : EJOR 298 (2022) 2, pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
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Financial Derivatives : Pricing and Risk Management
Kolb, Robert W. - 2010
Financial Derivatives explores the contemporary world of financial derivatives, starting with a presumption of only a general knowledge of undergraduate finance. These chapters have been written by many leading figures in academics, industry, and government for the benefit of advanced...
Persistent link: https://www.econbiz.de/10013147003
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A quantization approach to the counterparty credit exposure estimation
Bonollo, Michele; Di Persio, Luca; Oliva, Immacolata - In: International review of economics & finance : IREF 70 (2020), pp. 335-356
Persistent link: https://www.econbiz.de/10012486798
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Differences in the prices of vulnerable options with different counterparties
Wang, Xingchun - In: The journal of futures markets 37 (2017) 2, pp. 148-163
Persistent link: https://www.econbiz.de/10011669771
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The doble default value-of-the-firm model
Gouriéroux, Christian; Monfort, Alain - In: The journal of credit risk : published quarterly by … 12 (2016) 2, pp. 47-76
Persistent link: https://www.econbiz.de/10011597891