Pricing Discrete Barrier Options and Credit Default Swaps Under Levy Processes

2012 ◽  
Author(s):  
Marco de Innocentis ◽  
Sergei Z. Levendorskii
Keyword(s):  
Lévy Processes ◽  
Credit Default Swaps ◽  
Levy Processes ◽  
Barrier Options ◽  
Credit Default

CDS pricing with long memory via fractional Lévy processes

2014 ◽  
Vol 01 (04) ◽  
pp. 1450030 ◽  
Author(s):  
Holger Fink ◽  
Christian Scherr
Keyword(s):  
Long Memory ◽  
Lévy Processes ◽  
Credit Default Swaps ◽  
Levy Processes ◽  
Hazard Rates ◽  
Conditional Distributions ◽  
Empirical Application ◽  
Extensive Analysis ◽  
Credit Default ◽  
Over Time

In this paper, we consider spread rates of credit default swaps (CDSs) in a long memory fractional Lévy setting, i.e. where interest and hazard rates are driven by processes whose autocovariance functions decrease very slowly over time. Empirically, this property can be found in many variables like interest and hazard rates, but the usually applied Markovian models are unable to reflect this. Using earlier results on conditional distributions of fractional Lévy processes, we carry out an extensive analysis of parameter sensitivities useful for researchers and practitioners alike and derive an analytical pricing formula for CDS contracts. A first empirical application is provided as well.

Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes

2017 ◽  
Vol 75 ◽  
pp. 167-183 ◽  
Author(s):  
Guanghua Lian ◽  
Song-Ping Zhu ◽  
Robert J. Elliott ◽  
Zhenyu Cui
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Time Dependent ◽  
Barrier Options
Sign in / Sign up

Export Citation Format

Share Document