Pricing derivatives with counterparty risk and collateralization: A fixed point approach.

Jinbeom Kim Tim Leung

Published in: Eur. J. Oper. Res. (2016)

Keyphrases

fixed point
floating point
sufficient conditions
dynamical systems
fixed point theorem
higher order
belief propagation
variational inequalities
decision making
least squares
constraint databases
bargaining solution
high resolution