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Tagged with collateral black-scholes
2
questions
1
vote
1
answer
271
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Which volatility to use in cap pricing with CSA discounting?
I'm currently trying to price a cap on a Libor 3M (US) collateralized in EUR. I understand that my discount curve should be the CSA and the price of a caplet should be using a Black-scholes price:
$$...
- 207
5
votes
1
answer
905
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Risk-neutral expectation equation with collateral and funding costs
I am looking at a paper by V. Piterbarg, Funding beyond discounting: collateral agreements and derivatives pricing, that you can download on the following link, in which the author adapts the Black-...
- 8,149