Pricing vulnerable claims in a Lévy-driven model

DOI10.1007/s00780-014-0239-6zbMath1326.60095MaRDI QIDQ2255005

Agostino Capponi, Tiziano Vargiolu, Stefano Pagliarani

Publication date: 6 February 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-014-0239-6

zbMATH Keywords

stochastic differential equation; characteristic function; Lévy process; infinite-dimensional analysis; stock options; first-order ordinary differential equations; vulnerable claims

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G70: Extreme value theory; extremal stochastic processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J65: Brownian motion

60H30: Applications of stochastic analysis (to PDEs, etc.)

60J60: Diffusion processes

91G80: Financial applications of other theories

Related Items

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models, A family of density expansions for Lévy-type processes, Pricing Bermudan options under local Lévy models with default

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