Efficient Option Pricing under Levy Processes, with CVA and FVA

Efficient Option Pricing under Levy Processes, with CVA and FVA

We generalize the Piterbarg (2010) model to include 1) bilateral default risk as in Burgard and Kjaer (2012), and 2) jumps in the dynamics of the underlying asset using general classes of L'evy processes of exponential type. We develop an efficient explicit-implicit scheme for European option...

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Bibliographic Details
Main Authors: Jimmy eLaw, Chun Kong Shek, Sergei eLevendorskii
Format: Article
Language:English
Published: Frontiers Media S.A. 2015-07-01
Series:Frontiers in Applied Mathematics and Statistics
Subjects:
Levy processes
European options
variance gamma
Barrier options
Credit valuation adjustment (CVA)
Carr's randomization
Online Access:http://journal.frontiersin.org/Journal/10.3389/fams.2015.00006/full

Internet

http://journal.frontiersin.org/Journal/10.3389/fams.2015.00006/full

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