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The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs

  • Published:2014-07 Issue: Volume:29 Page:200-217
  • ISSN:1062-9408
  • Container-title:The North American Journal of Economics and Finance
  • language:en
  • Short-container-title:The North American Journal of Economics and Finance

Author:

Hunzinger Chadd B.,Labuschagne Coenraad C.A.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference26 articles.

1. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

2. Bilateral counterparty risk valuation with stochastic dynamical models and application to CDSs;Brigo,2008

3. Funding, collateral and hedging: Uncovering the mechanics and the subtleties of funding valuation adjustments;Brigo,2011

4. Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs;Burgard;Journal of Credit Risk,2011

5. Generalised CVA with funding and collateral via semi-replication;Burgard,2012

Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Explicit expressions to counterparty credit exposures for Forward and European Option;The North American Journal of Economics and Finance;2020-04

2. Option pricing under truncated Gram–Charlier expansion;The North American Journal of Economics and Finance;2015-04

3. Pricing a Collateralized Derivative Trade with a Funding Value Adjustment;Journal of Risk and Financial Management;2015-01-26

4. An Overview of the Black-Scholes-Merton Model After the 2008 Credit Crisis;Econometrics of Risk;2014-12-16
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