Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and Funding Value Adjustments

A. Castagna
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引用次数: 25

Abstract

We analyse the pricing of derivatives under a CSA agreement, without considering netting, minimum transfer amounts and thresholds. We come up with a decomposition of the total contract's value in a risk-free component, a liquidity value adjustment and a funding value adjustment. Implications for the organization of a dealing room are also investigated.
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担保协议下衍生品合约的定价:流动性和资金价值调整
我们分析了CSA协议下衍生品的定价,不考虑净额、最低转移金额和门槛。我们将合约的总价值分解为无风险部分、流动性价值调整和资金价值调整。对交易室组织的影响也进行了调查。
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