Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method (Q4683049)
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scientific article; zbMATH DE number 6939253
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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