Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Svetlana Boyarchenko, Sergei Levendorskiĭ
| Year of publication: |
October 2017
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|---|---|
| Authors: | Bojarčenko, Svetlana I. ; Levendorskij, Sergej Z. |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 27.2017, 4, p. 1089-1123
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| Subject: | stochastic interest rate | quadratic term structure models | Lévy processes | Wiener-Hopf factorization | barrier options | credit default swaps | parabolic inverse Laplace transform | parabolic inverse Fourier transform | quanto CDS | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Kreditderivat | Credit derivative | Optionsgeschäft | Option trading | Kreditrisiko | Credit risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12121 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011765022