- Research Article
- 10.2139/ssrn.4290406
Reducing the Procyclicality of the Variation Margin in Central Clearing
- Jan 01, 2022
- SSRN Electronic Journal
- Yangkyu Jin + 1 more +1
Publications from 2021 to 2026
Showing 2 of 2 papers
Reducing the Procyclicality of the Variation Margin in Central Clearing
A multiscale extension of the Margrabe formula under stochastic volatility