1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.MF2018
Adapting the CVA model to Leland's framework
P. Amster, A. P. Mogni
We consider the framework proposed by Burgard and Kjaer (2011) that derives the PDE which governs the price of an option including bilateral counterparty risk and funding. We exten…
q-fin.CP2017★ 1 cited
On a pricing problem for a multi-asset option with general transaction costs
Pablo Amster, Andres P. Mogni
We consider a Black-Scholes type equation arising on a pricing model for a multi-asset option with general transaction costs. The pioneering work of Leland is thus extended in two…