Pricing derivatives with counterparty risk and collateralization: A fixed point approach

网站地图 | English | 公务邮箱

About the library

Background
History
Leadership
Organization

Opening Hours
Collections
Help Via Email

Electronic Information Resources

Pricing derivatives with counterparty risk and collateralization: A fixed point approach

详细信息查看全文

作者：Jinbeom Kim ^{jk3071@columbia.edu" class="auth_mail" title="E-mail the corresponding author} ; Tim Leung ; ^{tl2497@columbia.edu" class="auth_mail" title="E-mail the corresponding author} ; ^{leung@ieor.columbia.edu" class="auth_mail" title="E-mail the corresponding author}
关键词：Bilateral counterparty risk ; Collateralization ; Credit valuation adjustment ; Fixed point method Contraction mapping
刊名：European Journal of Operational Research
出版年：2016
出版时间：1 March 2016
年：2016
卷：249
期：2
页码：525-539
全文大小：672 K

文摘

•: A valuation framework for contracts with counterparty risk and collateralization.
•: Propose a fixed point approach.
•: Propose an accurate algorithm for computation.
•: Apply our model to price equity and fixed-income derivatives.
•: Show impacts of counterparty risk on bid-ask prices.

NGLC 2004-2010.National Geological Library of China All Rights Reserved.
Add:29 Xueyuan Rd,Haidian District,Beijing,PRC. Mail Add: 8324 mailbox 100083
For exchange or info please contact us via email.