Arbitrage-free pricing of derivatives in nonlinear market models
Abstract The objective of this paper is to provide a comprehensive study of the no-arbitrage pricing of financial derivatives in the presence of funding costs, the counterparty credit risk and market frictions affecting the trading mechanism, such as collateralization and capital requirements. To ac...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2018-04-01
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| Series: | Probability, Uncertainty and Quantitative Risk |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s41546-018-0027-x |