PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
| Year of publication: |
2008
|
|---|---|
| Authors: | Feng, Liming ; Linetsky, Vadim |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 10731945. - Vol. 18.2008, 3, p. 337-384
|