Work

Arbitrage-free pricing of derivatives in nonlinear market models

Year: 2018

Type: article

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 achieve our goals, we extend in several respects the nonlinear pricing approach developed in ( El Karoui and Quenez 1997 ) and ( El Karoui et al. 1997 ), which was subsequently continued in ( Bielecki and Rutkowski 2015 ).

Source: Probability Uncertainty and Quantitative Risk

DOI: 10.1186/s41546-018-0027-x

Authors: Tomasz R. Bielecki, Igor Cialenco, Marek Rutkowski

Institutions: Illinois Institute of Technology, Warsaw University of Technology, The University of Sydney

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Funder: National Science Foundation

OpenAlex ID: W2584760475

FWCI: 4.533

Cites: 53

Cited by: 19

Related to: 10