A New Model for Pricing Collateralized OTC Derivatives

This paper presents a new model for pricing OTC derivatives subject to collateralization. It allows for collateral posting adhering to bankruptcy laws. As such, the model can...本文提出了一种用于为受抵押约束的场外衍生品（OTC derivatives）定价的新型模型。该模型允许抵押品提交行为符合破产法相关规定，基于此，本模型可……