Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
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Publication:784432
DOI10.1016/j.insmatheco.2020.04.011zbMath1446.91070arXiv1904.10063OpenAlexW3026165196MaRDI QIDQ784432
Zbigniew Palmowski, Budhi A. Surya
Publication date: 3 August 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.10063
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Actuarial mathematics (91G05)
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