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

DOI10.1016/J.CAM.2013.06.006zbMATH Open1314.91226OpenAlexW2005506350MaRDI QIDQ2349598FDOQ2349598

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

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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)

Cites Work

• Barrier options and touch-and-out options under regular Lévy processes of exponential type
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• 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
• Title not available (Why is that?)

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