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equity options under OIS discounting
Posted: November 16th, 2012, 10:09 am
by ANORAK
Just wondering if anyone has any links to papers on valuation of collateralised Equity or FX Options under OIS Discounting?Thanks
equity options under OIS discounting
Posted: November 21st, 2012, 7:30 am
by rmax
Not seen anything yet. I think for Equity options, the effect is likely to be diddly squat.
equity options under OIS discounting
Posted: November 23rd, 2012, 6:39 am
by frolloos
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.