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"A BSDE approach to fair bilateral pricing under endogenous collateralization."

Tianyang Nie, Marek Rutkowski (2016)

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DOI: 10.1007/S00780-016-0306-2

access: closed

type: Journal Article

metadata version: 2020-07-22

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Tianyang Nie, Marek Rutkowski:
A BSDE approach to fair bilateral pricing under endogenous collateralization. Finance Stochastics 20(4): 855-900 (2016)

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