We consider a nonlinear pricing problem that takes into account credit risk and funding issues. The aforementioned problem is formulated as a stochastic forward-backward system with delay, both in the forward and in the backward component, whose solution is characterized in terms of viscosity solution to a suitable type of path-dependent PDE.
A bsde with delayed generator approach to pricing under counterparty risk and collateralization / Cordoni, F.; Di Persio, L.. - In: INTERNATIONAL JOURNAL OF STOCHASTIC ANALYSIS. - ISSN 2090-3332. - 2016:(2016), pp. 1-11. [10.1155/2016/1059303]
A bsde with delayed generator approach to pricing under counterparty risk and collateralization
Cordoni F.;Di Persio L.
2016-01-01
Abstract
We consider a nonlinear pricing problem that takes into account credit risk and funding issues. The aforementioned problem is formulated as a stochastic forward-backward system with delay, both in the forward and in the backward component, whose solution is characterized in terms of viscosity solution to a suitable type of path-dependent PDE.File in questo prodotto:
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