Collateral smile
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DOI: 10.1016/j.jbankfin.2015.03.019
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- Markus LEIPPOLD & Lujing SU, 2011. "Collateral Smile," Swiss Finance Institute Research Paper Series 11-51, Swiss Finance Institute.
References listed on IDEAS
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Cited by:
- Jensen, Mads Vestergaard & Pedersen, Lasse Heje, 2016.
"Early option exercise: Never say never,"
Journal of Financial Economics, Elsevier, vol. 121(2), pages 278-299.
- Pedersen, Lasse Heje & Vestergaard Jensen, Mads, 2015. "Early Option Exercise: Never Say Never," CEPR Discussion Papers 11019, C.E.P.R. Discussion Papers.
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More about this item
Keywords
Collateral requirements; Funding costs; Volatility smile; Option pricing;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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