American step-up and step-down default swaps under Lévy models (Q5746748)

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scientific article; zbMATH DE number 6256465
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English
American step-up and step-down default swaps under Lévy models
scientific article; zbMATH DE number 6256465

    Statements

    title
    American step-up and step-down default swaps under Lévy models (English)
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    author
    Tim Leung
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    Kazutoshi Yamazaki
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    publication date
    8 February 2014
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    Mathematics Subject Classification ID
    91G40
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    91G20
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    60G51
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    zbMATH DE Number
    6256465
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    zbMATH Keywords
    optimal stopping
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    credit default swaps
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    step-up and step-down options
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    Lévy processes
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    scale functions
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    OpenAlex ID
    W3098912627
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    arXiv ID
    1012.3234
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    cites work
    Q4794126
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    Game options
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    Q2784224
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    Q3378055
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