By continuing to use this site you are agreeing to our use of cookies, as set out in our privacy policy.

« go back White paper

Pricing discrete barrier options and credit default swaps under Lévy processes

Discretely monitored barrier options under Lévy models, including single and double barrier options and first-touch digitals, as well as CDS and defaultable bonds.

Marco de Innocentis and Sergei Levendorskiia 24 June 2014