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

DOI10.1080/14697688.2012.730624zbMath1280.91183arXiv1012.3234OpenAlexW3098912627MaRDI QIDQ5746748

Tim Leung, Kazutoshi Yamazaki

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.3234

zbMATH Keywords

Lévy processesoptimal stoppingscale functionscredit default swapsstep-up and step-down options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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