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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Latest revision as of 14:52, 16 July 2024

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

    Statements

    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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    19 September 2018
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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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    Identifiers