Pricing approximations and error estimates for local L\'evy-type models with default
Computational Finance
2014-12-01 v5
Abstract
We find approximate solutions of partial integro-differential equations, which arise in financial models when defaultable assets are described by general scalar L\'evy-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.
Cite
@article{arxiv.1304.1849,
title = {Pricing approximations and error estimates for local L\'evy-type models with default},
author = {Matthew Lorig and Stefano Pagliarani and Andrea Pascucci},
journal= {arXiv preprint arXiv:1304.1849},
year = {2014}
}
Comments
36 pages, 4 figures, 1 tables