Paper Info
Title
Pricing approximations and error estimates for local Lévy-type models with default
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.
Year
DOI
Venue
2015
10.1016/j.camwa.2015.03.013
Computers & Mathematics with Applications
Keywords
DocType
Volume
partial integro-differential equation,vy-type process,pseudo-differential calculus,option pricing,asymptotic expansion,l&#233,defaultable asset
Journal
69
Issue
ISSN
Citations 
10
0898-1221
0
PageRank 
References 
Authors
0.34
7
3
Name
Order
Citations
PageRank
Matthew J. Lorig1154.93
Stefano Pagliarani2134.09
Andrea Pascucci3349.05