EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE (Q5371138)
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scientific article; zbMATH DE number 6797487
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE |
scientific article; zbMATH DE number 6797487 |
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EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE (English)
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24 October 2017
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stochastic interest rate
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quadratic term structure models
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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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parabolic inverse Laplace transform
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parabolic inverse Fourier transform
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quanto CDS
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