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

被引：1

作者：

Lorig, Matthew ^{[1
]}

Pagliarani, Stefano ^{[2
,3
]}

Pascucci, Andrea ^{[4
]}

机构：

[1] Univ Washington, Dept Appl Math, Seattle, WA 98195 USA

[2] Ecole Polytech, Ctr Math Appliquees, F-91128 Palaiseau, France

[3] CNRS, F-91128 Palaiseau, France

[4] Univ Bologna, Dipartimento Matemat, Bologna, Italy

来源：

COMPUTERS & MATHEMATICS WITH APPLICATIONS | 2015年 / 69卷 / 10期

基金：

美国国家科学基金会;

关键词：

Partial integro-differential equation; Asymptotic expansion; Pseudo-differential calculus; Option pricing; Levy-type process; Defaultable asset; JUMP; VOLATILITY; OPTIONS; CLAIMS;

D O I：

10.1016/j.camwa.2015.03.013

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We find approximate solutions of partial integro-differential equations, which arise in financial models when defaultable assets are described by general scalar Levy-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. (C) 2015 Elsevier Ltd. All rights reserved.

引用

页码：1189 / 1219

页数：31

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