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equity options under OIS discounting

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ANORAK
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Joined: April 25th, 2005, 10:00 am

equity options under OIS discounting

November 16th, 2012, 10:09 am

Just wondering if anyone has any links to papers on valuation of collateralised Equity or FX Options under OIS Discounting?Thanks
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rmax
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Joined: December 8th, 2005, 9:31 am

equity options under OIS discounting

November 21st, 2012, 7:30 am

Not seen anything yet. I think for Equity options, the effect is likely to be diddly squat.
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frolloos
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Joined: September 27th, 2007, 5:29 pm
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equity options under OIS discounting

November 23rd, 2012, 6:39 am

QuoteOriginally posted by: ANORAKJust wondering if anyone has any links to papers on valuation of collateralised Equity or FX Options under OIS Discounting?ThanksFunding beyond discounting by Piterbarg. Definitely applies to equity options, not sure about FX options though. Impact can be noticeable for long tenors.
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