Pricing and hedging vulnerable option with funding costs and collateral | |
Han, Xingyu | |
刊名 | CHAOS SOLITONS & FRACTALS
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2018 | |
卷号 | 112页码:103-115 |
关键词 | European vulnerable option Funding spreads Collateral Local volatility Backward stochastic differential equations |
DOI | 10.1016/j.chaos.2018.04.042 |
URL标识 | 查看原文 |
公开日期 | [db:dc_date_available] |
内容类型 | 期刊论文 |
URI标识 | http://www.corc.org.cn/handle/1471x/4570069 |
专题 | 山东大学 |
作者单位 | 1.Shandong Univ, Inst Financial Studies, Jinan 250100, Shandong, Peoples R China. 2.Shandong Univ, Sch Math, Jinan 250100, |
推荐引用方式 GB/T 7714 | Han, Xingyu. Pricing and hedging vulnerable option with funding costs and collateral[J]. CHAOS SOLITONS & FRACTALS,2018,112:103-115. |
APA | Han, Xingyu.(2018).Pricing and hedging vulnerable option with funding costs and collateral.CHAOS SOLITONS & FRACTALS,112,103-115. |
MLA | Han, Xingyu."Pricing and hedging vulnerable option with funding costs and collateral".CHAOS SOLITONS & FRACTALS 112(2018):103-115. |
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