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Method of paired contours and pricing barrier options and CDSs of long maturities
Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-58
Persistent link: https://www.econbiz.de/10010437194
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Ultra-fast pricing barrier options and CDSs
Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10011734044
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Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022