PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (Q3521283)
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scientific article; zbMATH DE number 5314833
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| English | PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH |
scientific article; zbMATH DE number 5314833 |
Statements
PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (English)
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21 August 2008
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Lévy processes
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Esscher transform
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discrete barrier options
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first passage time problems
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credit risk
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defaultable bonds
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Fourier transform
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Hilbert transform
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Whittaker cardinal series
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Sinc expansion
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0.8791825771331787
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0.8392543196678162
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0.8263214826583862
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0.8258154988288879
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0.8239029049873352
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