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Pricing approximations and error estimates for local L\'evy-type models with default

We find approximate solutions of partial integro-differential equations, which arise in financial models when defaultable assets are described by general scalar L\'evy-type stochastic processes. We derive rigorous error bounds for the approximate solutions. We also provide numerical examples illustrating the usefulness and versatility of our methods in a variety of financial settings.
Year of publication:
2013-04
Authors: Lorig, Matthew ; Pagliarani, Stefano ; Pascucci, Andrea
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10011086447
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