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Pricing Discretely Monitored Barrier Options And Credit Default Swaps Under Levy Processes

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Pricing Discretely Monitored Barrier Options and Credit Default Swaps Under Lévy Processes

Pricing Discretely Monitored Barrier Options and Credit Default Swaps Under Lévy Processes
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ISBN-10 : OCLC:963726490
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Book Synopsis Pricing Discretely Monitored Barrier Options and Credit Default Swaps Under Lévy Processes by : Marco De Innocentis

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Pricing Discretely Monitored Barrier Options and Credit Default Swaps Under Lévy Processes
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Pricing Barrier Options and Credit Default Swaps (CDS) in Spectrally One-Sided Levy Models
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Recently, the advantages of conformal deformations of the contours of integration in pricing formulas were demonstrated in the context of wide classes of Levy m
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Pricing Discretely Monitored Barrier Options and Defaultable Bonds in Levy Process Models

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This paper presents a novel method to price discretely-monitored single- and double-barrier options in Levy process-based models. The method involves a sequenti
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In general, no analytical formulas exist for pricing discretely monitored exotic options, even when a geometric Brownian motion governs the risk-neutral underly
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Semi-Analytical Valuation for Discrete Barrier Options Under Time-Dependent Lévy Processes

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Simple analytical solutions for the prices of discretely monitored barrier options do not yet exist in the literature. This paper presents a semi-analytical and