Method of paired contours and pricing barrier options and CDSs of long maturities
Year of publication: |
2014
|
---|---|
Authors: | Levendorskij, Sergej Z. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 5, p. 1-58
|
Subject: | Lévy processes | Laplace inversion | Wiener-Hopf factorization | barrier options | lookback options | credit default swaps | joint distribution of a Lévy process and its extrema | Fourier transform | conformal deformations | Gaver-Wynn-Rho algorithm | Gaver-Stehfest method | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
-
METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES
LEVENDORSKIĬ, SERGEI, (2014)
-
Bojarčenko, Svetlana I., (2017)
-
Ultra-fast pricing barrier options and CDSs
Levendorskij, Sergej Z., (2017)
- More ...
-
Pricing of the American put under Lévy processes
Levendorskij, Sergej Z., (2004)
-
Levendorskij, Sergej Z., (2006)
-
American and European options in multi-factor jump-diffusion models, near expiry
Levendorskij, Sergej Z., (2008)
- More ...