A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS

DOI10.1142/s021902492350022xarXiv2301.05332OpenAlexW4389089868MaRDI QIDQ6119775

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Publication date: 20 February 2024

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

Full work available at URL: https://arxiv.org/abs/2301.05332

zbMATH Keywords

credit spreadsself-decomposabilitycredit index swaptionsLévy-driven OU processesmultiple gamma processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

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