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Efficient Pricing Of Barrier Options And Credit Default Swaps In Lévy Models With Stochastic Interest Rate

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  • Svetlana Boyarchenko
  • Sergei Levendorskiĭ

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  • Svetlana Boyarchenko & Sergei Levendorskiĭ, 2017. "Efficient Pricing Of Barrier Options And Credit Default Swaps In Lévy Models With Stochastic Interest Rate," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 1089-1123, October.
    • Handle: RePEc:bla:mathfi:v:27:y:2017:i:4:p:1089-1123
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    File URL: http://hdl.handle.net/10.1111/mafi.2017.27.issue-4
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    Cited by:

    1. Robert A. Jarrow & Pierre Patie & Anna Srapionyan & Yixuan Zhao, 2021. "Risk‐neutral pricing techniques and examples," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 857-884, July.
    2. Svetlana Boyarchenko & Sergei Levendorskiĭ, 2019. "Sinh-Acceleration: Efficient Evaluation Of Probability Distributions, Option Pricing, And Monte Carlo Simulations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-49, May.
    3. Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021. "Sinh-Acceleration For B-Spline Projection With Option Pricing Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.

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