A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral
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Published:2018
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ISSN:1556-5068
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Container-title:SSRN Electronic Journal
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language:en
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Short-container-title:SSRN Journal
Reference28 articles.
1. The Pricing of Options and Corporate Liabilities;Fischer Black;Journal of Political Economy,1973
2. Theory of Rational Option Pricing;Robert C Merton;The Bell Journal of Economics and Management Science,1973
3. See also Partial differential equation representations of derivatives with counterparty risk and funding costs;C Burgard;PDE representations of options with bilateral counterparty risk and funding costs,2011