Abstract
In Chap. 4 and 5 we described a generic valuation framework which takes into account the possibility of transactions having early exercise features. In the notation that we introduced there, we represent by T={τ 1,τ 2,…,τ n }∪{∞} the set of times at which the holder of the option may opt to replace the no-exercise portfolio P with time-t value \(V_{t}^{P}\) , with a different portfolio Q with time-t value \(V_{t}^{Q}\) ({∞}=T ∞ indicates no-exercise). The goal of this and of the next chapters is to compute counterparty credit exposure for different types of transactions.
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© 2009 Springer-Verlag Berlin Heidelberg
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Cesari, G., Aquilina, J., Charpillon, N., Filipović, Z., Lee, G., Manda, I. (2009). Interest-Rate Products. In: Modelling, Pricing, and Hedging Counterparty Credit Exposure. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-04454-0_8
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DOI: https://doi.org/10.1007/978-3-642-04454-0_8
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Online ISBN: 978-3-642-04454-0
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