"When Capital Is a Funding Source: The Anticipated Backward Stochastic ..."

Stéphane Crépey, Wissal Sabbagh, Shiqi Song (2020)

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DOI: 10.1137/19M1242781

access: closed

type: Journal Article

metadata version: 2020-06-16

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Stéphane Crépey, Wissal Sabbagh, Shiqi Song:
When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments. SIAM J. Financial Math. 11(1): 99-130 (2020)

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