英文标题：
《A BSDE approach to fair bilateral pricing under endogenous
collateralization》
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作者：
Tianyang Nie, Marek Rutkowski
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最新提交年份：
2014
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英文摘要：
Our previous results are extended to the case of the margin account, which may depend on the contract\'s value for the hedger and/or the counterparty. The present work generalizes also the papers by Bergman (1995), Mercurio (2013) and Piterbarg (2010). Using the comparison theorems for BSDEs, we derive inequalities for the unilateral prices and we give the range for its fair bilateral prices. We also establish results yielding the link to the market model with a single interest rate. In the case where the collateral amount is negotiated between the counterparties, so that it depends on their respective unilateral values, the backward stochastic viability property studied by Buckdahn et al. (2000) is used to derive the bounds on fair bilateral prices.
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中文摘要：
我们之前的结果扩展到保证金账户的情况，这可能取决于套期保值者和/或交易对手的合同价值。目前的工作还概括了伯格曼（1995年）、马库里奥（2013年）和皮特堡（2010年）的论文。利用BSDE的比较定理，我们导出了单边价格的不等式，并给出了其公平双边价格的范围。我们还建立了与单一利率市场模型相关的结果。如果抵押品金额在交易对手之间协商，从而取决于各自的单边价值，则使用Buckdahn等人（2000年）研究的反向随机生存性属性来推导公平双边价格的界限。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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