Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
From MaRDI portal
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)
Related Items
Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process ⋮ COVID-19 and credit risk: a long memory perspective
Cites Work
- Unnamed Item
- Unnamed Item
- Gerber-Shiu risk theory
- On optimal stopping and free boundary problems
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions
- Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process
- Stochastic modeling and fair valuation of drawdown insurance
- Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
- Restructuring risk in credit default swaps: an empirical analysis
- On the optimal dividend problem for a spectrally negative Lévy process
- Introductory lectures on fluctuations of Lévy processes with applications.
- Optimal Stopping and the American Put
- ON THE AMERICAN OPTION PROBLEM
- American step-up and step-down default swaps under Lévy models
