THE GREEKS OF THE PITERBARG OPTION PRICING FRAMEWORK
Journal Title: Topics in Economics, Business and Management (EBM) - Year 2017, Vol 1, Issue 1
Abstract
In this paper the Greeks are derived in the Piterbarg option pricing framework, which derives the price of an option through three unique interest rates, and collateral payments. The different scenarios of collateral payments are discussed, and closed form solutions for the option prices are derived. The Greeks are found for each scenario and implemented
Authors and Affiliations
Coenraad C. A. Labuschagne, Sven T. von Boetticher
Keywords
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- EP ID EP412366
- DOI 10.26480/icemi.01.2017.01.05
- Views 104
- Downloads 0
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