Pricing vulnerable claims in a Lévy-driven model
Year of publication: |
2014
|
---|---|
Authors: | Capponi, Agostino ; Pagliarani, Stefano ; Vargiolu, Tiziano |
Published in: |
Finance and Stochastics. - Springer. - Vol. 18.2014, 4, p. 755-789
|
Publisher: |
Springer |
Subject: | Default | Infinite-dimensional analysis | Vulnerable claims | Lévy process | Characteristic function |
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