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"Funding, repo and credit inclusive valuation as modified option pricing."

Damiano Brigo, Cristin Buescu, Marek Rutkowski (2017)

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DOI: 10.1016/J.ORL.2017.10.009

access: open

type: Journal Article

metadata version: 2020-11-04

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  dblp key:
  - journals/orl/BrigoBR17
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  - https://dblp.org/rec/journals/orl/BrigoBR17
Damiano Brigo, Cristin Buescu, Marek Rutkowski:
Funding, repo and credit inclusive valuation as modified option pricing. Oper. Res. Lett. 45(6): 665-670 (2017)

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