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- W2117936523 abstract "The 2008 credit crisis changed the manner in which derivative trades are conducted. One of these changes is the posting of collateral in a trade to mitigate the counterparty credit risk. Another is the realization that banks are not risk-free and, as a result, cannot borrow at the risk-free rate any longer. The latter led banks to introduced the controversial adjustment to derivative prices, known as a funding value adjustment (FVA), which is interlinked with the posting of collateral. In this paper, we extend the Cox, Ross and Rubinstein (CRR) discrete-time model to include collateral and FVA. We prove that this derived model is a discrete analogue of Piterbarg’s partial differential equation (PDE), which describes the price of a collateralized derivative. The fact that the two models coincide is also verified by numerical implementation of the results that we obtain." @default.
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- W2117936523 date "2015-01-26" @default.
- W2117936523 modified "2023-09-28" @default.
- W2117936523 title "Pricing a Collateralized Derivative Trade with a Funding Value Adjustment" @default.
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- W2117936523 doi "https://doi.org/10.3390/jrfm8010017" @default.
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