Pricing formulae for constant proportion debt obligation notes: the Laplace transform technique

DOI10.1016/J.CAM.2013.06.006MaRDI QIDQ2349598zbMATH OpenOpenAlexFDO

Authors Ö. Uğur, Ayşegül İşcanoğlu Çekiç

Publication date 17 June 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2013.06.006

zbMATH Keywords

Laplace transformconstant proportional debt obligationdouble exponential jump diffusion process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Credit risk (91G40) Laplace transform (44A10)

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Cites work

• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• Barrier options and touch-and-out options under regular Lévy processes of exponential type
• Theoretical solution versus industry standard: Optimal leverage function for CPDOs

Cited in

(4)

• Theoretical solution versus industry standard: Optimal leverage function for CPDOs
• CPDO with finite termination: maximal return under cash-in and cash-out conditions
• Constant proportion debt obligations (CPDOs): modeling and risk analysis
• scientific article; zbMATH DE number 6961827 (Why is no real title available?)

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