Arbitrage-free pricing of derivatives in nonlinear market models  

作　　者：Tomasz R.Bielecki Igor Cialenco Marek Rutkowski 

机构地区：[1]Department of Applied Mathematics,Illinois Institute of Technology,Chicago 60616,IL,USA [2]School of Mathematics and Statistics,University of Sydney,Sydney 2006,NSW,Australia [3]Faculty of Mathematics and Information Science,Warsaw University of Technology,00-661 Warszawa,Poland

出　　处：《Probability, Uncertainty and Quantitative Risk》2018年第1期29-84,共56页概率、不确定性与定量风险（英文）

摘　　要：The objective of this paper is to provide a comprehensive study of the no-arbitrage pricing of financial derivatives in the presence of funding costs,the counterparty credit risk and market frictions affecting the trading mechanism,such as collateralization and capital requirements.To achieve our goals,we extend in sev-eral respects the nonlinear pricing approach developed in(El Karoui and Quenez 1997)and(El Karoui et al.1997),which was subsequently continued in(Bielecki and Rutkowski 2015).

关 键 词：ARBITRAGE HEDGING Fairprice Funding cost Marginagreement Marketfriction BSDE 

分 类 号：O62[理学—有机化学]