We consider a nonlinear pricing problem that takes into account credit risk and funding issues. The aforementioned problem is formulated as a stochastic forward-backward system with delay, both in the forward and in the backward component, whose solution is characterized in terms of viscosity solution to a suitable type of path-dependent PDE.

A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization

CORDONI, Francesco Giuseppe;DI PERSIO, Luca
2016

Abstract

We consider a nonlinear pricing problem that takes into account credit risk and funding issues. The aforementioned problem is formulated as a stochastic forward-backward system with delay, both in the forward and in the backward component, whose solution is characterized in terms of viscosity solution to a suitable type of path-dependent PDE.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11562/946503
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