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Fair bilateral prices in Bergman’s model with exogenous collateralization
Nie, Tianyang; Rutkowski, Marek - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-26
Persistent link: https://www.econbiz.de/10011404379
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A BSDE approach to fair bilateral pricing under endogenous collateralization
Nie, Tianyang; Rutkowski, Marek - In: Finance and stochastics 20 (2016) 4, pp. 855-900
Persistent link: https://www.econbiz.de/10011569868
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Fair bilateral pricing under funding costs and exogenous collateralization
Nie, Tianyang; Rutkowski, Marek - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 621-655
Persistent link: https://www.econbiz.de/10011969093
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Arbitrage-free pricing of multi-person game claims in discrete time
Guo, Ivan; Rutkowski, Marek - In: Finance and stochastics 21 (2017) 1, pp. 111-155
Persistent link: https://www.econbiz.de/10011944066