METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES
Year of publication: |
2014
|
---|---|
Authors: | LEVENDORSKIĬ, SERGEI |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 17.2014, 05, p. 1450033-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Lévy processes | Laplace inversion | Wiener–Hopf factorization | barrier options | lookback options | credit default swaps | joint distribution of a Lévy process and its extrema | Fourier transform | conformal deformations | Gaver–Wynn–Rho algorithm | Gaver–Stehfest method |
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