(CVA), and the collateral cost adjustment (CCA) independent from the credit risk. We have studied each term closely, and … this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is … asymmetric and imperfect collateralization with the associated counter party credit risk. By introducing the collateral coverage …

principle initiated by Buhlmann (1980). The derivative markets in our model are over-the-counter (OTC) markets and have … the collateral agreements. We also demonstrate whether our pricing approach is consistent with an another equilibrium … pricing rule in the point of the sensitivity of derivative prices …