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• W2584760475 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)." @default.
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• W2584760475 date "2018-04-21" @default.
• W2584760475 modified "2023-10-16" @default.
• W2584760475 title "Arbitrage-free pricing of derivatives in nonlinear market models" @default.
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• W2584760475 doi "https://doi.org/10.1186/s41546-018-0027-x" @default.
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