American step-up and step-down default swaps under Lévy models
From MaRDI portal
Publication:5746748
DOI10.1080/14697688.2012.730624zbMath1280.91183arXiv1012.3234MaRDI QIDQ5746748
Publication date: 8 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1012.3234
Lévy processes; optimal stopping; scale functions; credit default swaps; step-up and step-down options
60G51: Processes with independent increments; Lévy processes
91G20: Derivative securities (option pricing, hedging, etc.)
91G40: Credit risk
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