Pricing approximations and error estimates for local Lévy-type models with default

DOI10.1016/j.camwa.2015.03.013zbMath1443.91298arXiv1304.1849OpenAlexW3124278880MaRDI QIDQ2006127

Stefano Pagliarani, Andrea Pascucci, Matthew Lorig

Publication date: 8 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.1849

zbMATH Keywords

asymptotic expansionoption pricingLévy-type processpseudo-differential calculuspartial integro-differential equationdefaultable asset

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Asymptotics for $$d$$ -Dimensional Lévy-Type Processes ⋮ Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation

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