most citedOn a pricing problem for a multi-asset option with general transaction costs

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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…