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A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization

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  • Francesco Cordoni
  • Luca Di Persio

Abstract

We consider a nonlinear pricing problem that takes into account credit risk and funding issues. The aforementioned problem is formulated as a stochastic forward-backward system with delay, both in the forward and in the backward component, whose solution is characterized in terms of viscosity solution to a suitable type of path-dependent PDE .

Suggested Citation

  • Francesco Cordoni & Luca Di Persio, 2016. "A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization," International Journal of Stochastic Analysis, Hindawi, vol. 2016, pages 1-11, August.
    • Handle: RePEc:hin:jnijsa:1059303
    DOI: 10.1155/2016/1059303
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    Cited by:

    1. Francesco Cordoni & Luca Di Persio & Luca Prezioso, 2019. "A lending scheme for a system of interconnected banks with probabilistic constraints of failure," Papers 1903.06042, arXiv.org, revised Oct 2019.

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