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Pricing approximations and error estimates for local Lévy-type models with default

Lorig Matthew
•
Pagliarani Stefano
•
Pascucci Andrea
2015
  • journal article

Periodico
COMPUTERS & MATHEMATICS WITH APPLICATIONS
Abstract
We find approximate solutions of partial integro-differential equations, which arise in financial models when defaultable assets are described by general scalar Lévy-type stochastic processes. We derive rigorous error bounds for the approximate solutions. We also provide numerical examples illustrating the usefulness and versatility of our methods in a variety of financial settings.
DOI
10.1016/j.camwa.2015.03.013
WOS
WOS:000353853900010
Archivio
http://hdl.handle.net/11390/1130635
info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-84927798098
http://www.sciencedirect.com/science/article/pii/S0898122115001182
Diritti
closed access
Soggetti
  • Asymptotic expansion

  • Defaultable asset

  • Lévy-type proce

  • Option pricing

  • Partial integro-diffe...

  • Pseudo-differential c...

  • Computational Theory ...

  • Modeling and Simulati...

  • Computational Mathema...

Scopus© citazioni
2
Data di acquisizione
Jun 2, 2022
Vedi dettagli
Web of Science© citazioni
2
Data di acquisizione
Mar 8, 2024
Visualizzazioni
4
Data di acquisizione
Apr 19, 2024
Vedi dettagli
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