Simulation of Lévy processes and option pricing
نویسندگان
چکیده
منابع مشابه
Efficient option pricing under Lévy processes, with CVA and FVA
We generalize the Piterbarg [1] model to include (1) bilateral default risk as in Burgard and Kjaer [2], and (2) jumps in the dynamics of the underlying asset using general classes of Lévy processes of exponential type. We develop an efficient explicit-implicit scheme for European options and barrier options taking CVA-FVA into account. We highlight the importance of this work in the context of...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2013
ISSN: 1460-1559
DOI: 10.21314/jcf.2013.260