ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs

DOI10.1142/S0219024917500339zbMath1396.91749OpenAlexW3124142980MaRDI QIDQ5357515

Sergei Levendorskii

Publication date: 8 September 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024917500339

zbMATH Keywords

Laplace transformWiener-Hopf factorizationcredit default swapsbarrier optionsspectrally one-sided Lévy processesparabolic inverse Laplace transform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

Related Items (2)

SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS ⋮ Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes

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