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.
Titolo: | Pricing approximations and error estimates for local Lévy-type models with default |
Autori: | |
Data di pubblicazione: | 2015 |
Rivista: | |
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. |
Handle: | http://hdl.handle.net/11368/2886119 |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/j.camwa.2015.03.013 |
URL: | http://www.sciencedirect.com/science/article/pii/S0898122115001182 |
Appare nelle tipologie: | 1.1 Articolo in Rivista |
File in questo prodotto:
File | Descrizione | Tipologia | Licenza | |
---|---|---|---|---|
LPP-StochProcAndApp-2.14-Paper.pdf | Bozza finale post-referaggio (post-print) | Digital Rights Management non definito | Open Access Visualizza/Apri | |
Pricing approximations and error estimates for local Levy-type models with default.pdf | pdf articolo pubblicato | Documento in Versione Editoriale | Digital Rights Management non definito | Administrator Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.