AN EQUILIBRIUM MODEL FOR AN OTC DERIVATIVE MARKET UNDER A COUNTERPARTY RISK CONSTRAINT
In this study, we develop an equilibrium pricing model for an option contract with a counterparty risk, a collateral agreement, a counterparty risk constraint, and a threshold. Since we consider the option market to be an example of the derivatives market, we suppose that the buyer of an option has...
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| Format: | Article |
| Language: | English |
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World Scientific Publishing
2018-12-01
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| Series: | Journal of Financial Management, Markets and Institutions |
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| Online Access: | http://www.worldscientific.com/doi/epdf/10.1142/S2282717X1850007X |