ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs (Q5357515)
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scientific article; zbMATH DE number 6773514
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs |
scientific article; zbMATH DE number 6773514 |
Statements
ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs (English)
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8 September 2017
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spectrally one-sided Lévy processes
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Wiener-Hopf factorization
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barrier options
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credit default swaps
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Laplace transform
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parabolic inverse Laplace transform
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