Pricing discrete barrier options and credit default swaps under Lévy processes
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Publication:5245896
DOI10.1080/14697688.2013.826814zbMath1402.91825OpenAlexW3121257506MaRDI QIDQ5245896
Marco de Innocentis, Sergei Levendorskii
Publication date: 16 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10.1080/14697688.2013.826814
Lévy processesinverse Fourier transformCOS methodcredit default swapsdiscrete monitoringbarrier optionsKoBoL processesHT method
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Convergence of Fourier series and of inverse transforms (43A50)
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