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.
Titolo: | A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization |
Autori: | DI PERSIO, Luca (Corresponding) |
Data di pubblicazione: | 2016 |
Rivista: | |
Handle: | http://hdl.handle.net/11562/946503 |
Appare nelle tipologie: | 01.01 Articolo in Rivista |
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A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization Di Persio Cordoni.pdf | Versione dell'editore | ![]() | Open Access Visualizza/Apri |
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