英文标题：
《Funding Adjustments in Equity Linear Products》
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作者：
Stefania Gabrielli, Andrea Pallavicini and Stefano Scoleri
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最新提交年份：
2019
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英文摘要：
Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies and taxes are added to option prices to take into account the production cost of financial contracts so that a profitability analysis can be reliably assessed. In particular, when dealing with linear products, we need a precise evaluation of such contributions since bid-ask spreads may be very tight. In this paper we start from a general pricing framework inclusive of valuation adjustments to derive simple evaluation formulae for the relevant case of total return equity swaps when stock lending and borrowing is adopted as hedging strategy.
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中文摘要：
如今，估值调整是在期权定价中纳入信贷和流动性影响的常见做法。抵押品程序、对冲策略和税收产生的融资成本被添加到期权价格中，以考虑金融合同的生产成本，从而可以可靠地评估盈利能力分析。特别是，在处理线性产品时，我们需要对此类贡献进行精确评估，因为买卖价差可能非常紧密。在本文中，我们从包含估值调整的一般定价框架出发，推导出当股票借贷作为对冲策略时，总回报股权掉期相关情况的简单估值公式。
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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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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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