Pricing discrete barrier options and credit default swaps under Lévy processes (Q5245896)
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scientific article; zbMATH DE number 6425904
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing discrete barrier options and credit default swaps under Lévy processes |
scientific article; zbMATH DE number 6425904 |
Statements
Pricing discrete barrier options and credit default swaps under Lévy processes (English)
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16 April 2015
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barrier options
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credit default swaps
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discrete monitoring
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inverse Fourier transform
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Lévy processes
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KoBoL processes
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HT method
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COS method
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