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.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization Di Persio Cordoni.pdf
accesso aperto
Tipologia:
Versione dell'editore
Licenza:
Dominio pubblico
Dimensione
2 MB
Formato
Adobe PDF
|
2 MB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
