SIAM Journal on Financial Mathematics, Volume 11, Issue 2, Page 385-410, January 2020.
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same pricing methodology and parameters. Thus, the two parties should enter the derivative contracts with a negotiated price, and we call the negotiation a risk-sharing problem. This framework defines the negotiation as a problem that maximizes the sum of utilities of the two parties. By the derived optimal price, we provide a theoretical analysis on how the price is determined between the two parties. As well as the price, the risk-sharing framework produces an optimal amount of collateral.

中文翻译：

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双边合同的风险分担框架

《 SIAM金融数学杂志》，第11卷，第2期，第385-410页，2020年1月。
我们引入了一种由两个主体构成的问题，该问题的灵感来自于资金差异引起的价格不对称。当两方的融资利率不同时，即使在相同的定价方法和参数下，两方得出的衍生合同公平价格也不同。因此，双方应以协商的价格订立衍生合同，我们将协商称为风险分担问题。该框架将谈判定义为一个最大化双方效用之和的问题。通过得出的最优价格，我们提供了关于如何在两方之间确定价格的理论分析。除价格外，风险分担框架还产生最佳数量的抵押品。