Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method (Q4683049): Difference between revisions

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scientific article; zbMATH DE number 6939253

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English	Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method	scientific article; zbMATH DE number 6939253

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scholarly article

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title

Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method (English)

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zbMATH Open document ID

1398.91567

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DOI

10.1080/14697688.2014.941914

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19 September 2018

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Mathematics Subject Classification ID

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ghost calibration

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spectrally one-sided Lévy processes

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Wiener-Hopf factorization

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barrier options

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credit default swaps

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Laplace transform

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parabolic inverse Laplace transform

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/14697688.2014.941914

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OpenAlex ID

W2017025907

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cites work

Multi-precision Laplace transform inversion

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A Unified Framework for Numerically Inverting Laplace Transforms

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Russian and American put options under exponential phase-type Lévy models.

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On the optimal dividend problem for a spectrally negative Lévy process

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ON OPTIMAL DIVIDENDS IN THE DUAL MODEL

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Q4888858

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PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS

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VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES

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OPTION PRICING FOR TRUNCATED LÉVY PROCESSES

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Barrier options and touch-and-out options under regular Lévy processes of exponential type

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Q4331490

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EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS

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Interest rate models -- theory and practice. With smile, inflation and credit

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APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING

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Pricing discrete barrier options and credit default swaps under Lévy processes

0 references

Phase-type Fitting of scale functions for spectrally negative Lévy processes

0 references

Optimal capital structure and endogenous default

0 references

A Jump-Diffusion Model for Option Pricing

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Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes

0 references

Meromorphic Lévy processes and their fluctuation identities

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The Theory of Scale Functions for Spectrally Negative Lévy Processes

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Introductory lectures on fluctuations of Lévy processes with applications.

0 references

American step-up and step-down default swaps under Lévy models

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EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL

0 references

PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES

0 references

Evaluating first-passage probabilities for spectrally one-sided Lévy processes

0 references

Q3139836

0 references

Evaluating Scale Functions of Spectrally Negative Lévy Processes

0 references

The Accurate Numerical Inversion of Laplace Transforms

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Sitelinks

Mathematics(1 entry)

mardi Publication:4683049

@@ Property / author @@
-Sergei Levendorskii
@@ Property / author: Sergei Levendorskii / rank @@
-Normal rank
@@ Property / author @@
+Sergei Levendorskii
@@ Property / author: Sergei Levendorskii / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697688.2014.941914
+Normal rank
@@ Property / OpenAlex ID @@
+W2017025907
@@ Property / OpenAlex ID: W2017025907 / rank @@
+Normal rank
@@ Property / cites work @@
+Multi-precision Laplace transform inversion
@@ Property / cites work: Multi-precision Laplace transform inversion / rank @@
+Normal rank
@@ Property / cites work @@
+A Unified Framework for Numerically Inverting Laplace Transforms
+Normal rank
@@ Property / cites work @@
+Russian and American put options under exponential phase-type Lévy models.
+Normal rank
@@ Property / cites work @@
+On the optimal dividend problem for a spectrally negative Lévy process
+Normal rank
@@ Property / cites work @@
+ON OPTIMAL DIVIDENDS IN THE DUAL MODEL
@@ Property / cites work: ON OPTIMAL DIVIDENDS IN THE DUAL MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Q4888858
@@ Property / cites work: Q4888858 / rank @@
+Normal rank
@@ Property / cites work @@
+PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS
+Normal rank
@@ Property / cites work @@
+VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES
+Normal rank
@@ Property / cites work @@
+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
@@ Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+Barrier options and touch-and-out options under regular Lévy processes of exponential type
+Normal rank
@@ Property / cites work @@
+Q4331490
@@ Property / cites work: Q4331490 / rank @@
+Normal rank
@@ Property / cites work @@
+EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS
+Normal rank
@@ Property / cites work @@
+Interest rate models -- theory and practice. With smile, inflation and credit
+Normal rank
@@ Property / cites work @@
+APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING
+Normal rank
@@ Property / cites work @@
+Pricing discrete barrier options and credit default swaps under Lévy processes
+Normal rank
@@ Property / cites work @@
+Phase-type Fitting of scale functions for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+Optimal capital structure and endogenous default
@@ Property / cites work: Optimal capital structure and endogenous default / rank @@
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
+Normal rank
@@ Property / cites work @@
+Meromorphic Lévy processes and their fluctuation identities
+Normal rank
@@ Property / cites work @@
+The Theory of Scale Functions for Spectrally Negative Lévy Processes
+Normal rank
@@ Property / cites work @@
+Introductory lectures on fluctuations of Lévy processes with applications.
+Normal rank
@@ Property / cites work @@
+American step-up and step-down default swaps under Lévy models
+Normal rank
@@ Property / cites work @@
+EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL
+Normal rank
@@ Property / cites work @@
+PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
@@ Property / cites work: PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+Evaluating first-passage probabilities for spectrally one-sided Lévy processes
+Normal rank
@@ Property / cites work @@
+Q3139836
@@ Property / cites work: Q3139836 / rank @@
+Normal rank
@@ Property / cites work @@
+Evaluating Scale Functions of Spectrally Negative Lévy Processes
+Normal rank
@@ Property / cites work @@
+The Accurate Numerical Inversion of Laplace Transforms
+Normal rank