EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE

DOI10.1111/MAFI.12121zbMath1411.91545OpenAlexW2409971755MaRDI QIDQ5371138

Svetlana Boyarchenko, Sergei Levendorskii

Publication date: 24 October 2017

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12121

zbMATH Keywords

Lévy processesWiener-Hopf factorizationstochastic interest ratecredit default swapsbarrier optionsquadratic term structure modelsparabolic inverse Fourier transformparabolic inverse Laplace transformquanto CDS

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Credit risk (91G40)

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SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS ⋮ Risk‐neutral pricing techniques and examples ⋮ 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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