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Han et al., 2015 - Google Patents

A Note on Evaluation of Derivatives with Collaterals

Han et al., 2015

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Document ID
7079371168787552499
Author
Han M
He Y
Zhang H
Publication year
Publication venue
Hu and Zhang, Hu, A Note on Evaluation of Derivatives with Collaterals (March 5, 2015)

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Snippet

This is a revised version of our published paper Han et al.(2014). In this paper, valuation of a derivative, which is traded between default-free counterparties, partially collateralized in another specific (foreign) currency and funding in a third specific currency is studied …
Continue reading at papers.ssrn.com (PDF) (other versions)

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