Pricing vulnerable claims in a Lévy-driven model
DOI10.1007/s00780-014-0239-6zbMath1326.60095MaRDI QIDQ2255005
Tiziano Vargiolu, Stefano Pagliarani, Agostino Capponi
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
stochastic differential equation; characteristic function; Lévy process; infinite-dimensional analysis; stock options; first-order ordinary differential equations; vulnerable claims
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