A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization. (2nd August 2016)

• Record Type: Journal Article
• Authors: Cordoni, Francesco; Di Persio, Luca
• Other Names: Yong Jiongmin Academic Editor.
• Is Part Of: International journal of stochastic analysis. Volume 2016(2016)
• Publication Date: 2016-08-02
• Subjects: Stochastic analysis -- Periodicals; Stochastic analysis; Periodicals; 519.22
• DOI: 10.1155/2016/1059303
• Languages: English
• ISSNs: 2090-3332

Abstract

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 .