A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization

Francesco Cordoni and Luca Di Persio

International Journal of Stochastic Analysis, 2016, vol. 2016, 1-11

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 .

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:1059303

DOI: 10.1155/2016/1059303

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