Abstract
In this chapter we investigate the impact of collateral posting on interest rate derivative prices. We build a robust framework to price various standard derivatives and show that not taking collateral into account impacts prices significantly. We extend our framework to single-currency exotic options.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.