LEVENDORSKIĬ, SERGEI - In: International Journal of Theoretical and Applied … 17 (2014) 05, pp. 1450033-1
For prices of options with barrier and lookback features, defaultable bonds and credit default swaps (CDSs), and probability distribution functions in Lévy models, as well as for joint probability distributions of a Lévy process and its supremum or/and infimum, one can derive explicit...