American step-up and step-down default swaps under Lévy models
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- Tim Siu-Tang Leung & Kazutoshi Yamazaki, 2010. "American Step-Up and Step-Down Default Swaps under Levy Models," Papers 1012.3234, arXiv.org, revised Sep 2012.
References listed on IDEAS
- Tim Leung & Ronnie Sircar, 2009. "Accounting For Risk Aversion, Vesting, Job Termination Risk And Multiple Exercises In Valuation Of Employee Stock Options," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 99-128.
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- Egami, Masahiko & Leung, Tim & Yamazaki, Kazutoshi, 2013.
"Default swap games driven by spectrally negative Lévy processes,"
Stochastic Processes and their Applications,
Elsevier, vol. 123(2), pages 347-384.
- Masahiko Egami & Tim S. T. Leung & Kazutoshi Yamazaki, 2011. "Default Swap Games Driven by Spectrally Negative Levy Processes," Papers 1105.0238, arXiv.org, revised Sep 2012.
- Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015.
"An Analytic Recursive Method For Optimal Multiple Stopping: Canadization And Phase-Type Fitting,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-31.
- Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015. "An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting," Papers 1505.07705, arXiv.org.
- Hernández-Hernández, Daniel & Yamazaki, Kazutoshi, 2015. "Games of singular control and stopping driven by spectrally one-sided Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 125(1), pages 1-38.
- Jiao Li, 2016. "Trading VIX Futures under Mean Reversion with Regime Switching," Papers 1605.07945, arXiv.org, revised Jun 2016.
- Kazutoshi Yamazaki, 2016. "Optimality of two-parameter strategies in stochastic control," Papers 1605.04995, arXiv.org.
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