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Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
16 references·5 citing·35 second hop
Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method (2014)Ghost calibration and the pricing of barr…The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)The Theory of Scale Functions…On the optimal dividend problem for a spectrally negative Lévy process (2007)On the optimal dividend probl…Interest rate models : theory and practice : with smile, inflation and credit (2006)Interest rate models : theory…PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004)PRICING OF THE AMERICAN PUT U…Russian and American put options under exponential phase-type Lévy models (2003)Russian and American put opti…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Optimal capital structure and endogenous default (2002)Optimal capital structure and…Non-Gaussian Merton-Black-Scholes Theory (2002)Non-Gaussian Merton-Black-Sch…Non-Gaussian Merton-Black-Scholes Theory (2002)Non-Gaussian Merton-Black-Sch…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…OPTION PRICING FOR TRUNCATED LÉVY PROCESSES (2000)OPTION PRICING FOR TRUNCATED …Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…Static and Semi-Static Hedging as Contrarian or Conformist Bets (2019)Static and Semi-Static Hedgin…SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS (2019)SINH-ACCELERATION: EFFICIENT …RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL (2016)RIDING WITH THE FOUR HORSEMEN…Pitfalls of the Fourier Transform Method in Affine Models, and Remedies (2016)Pitfalls of the Fourier Trans…EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE (2016)EFFICIENT PRICING OF BARRIER …The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)The Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Option Pricing Under a Mixed-Exponential Jump Diffusion Model (2011)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The theory and practice of corporate finance: evidence from the field (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Theory of rational option pricing (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Behavior of Stock-Market Prices (1965)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Option pricing by transform methods: extensions, unification and error control (2004)A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)Analysis of Fourier Transform Valuation Formulas and Applications (2010)Handbook of Financial Engineering (2008)COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)Credit Risk Modeling (2004)On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle (2008)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)An Analysis of Default Correlations and Multiple Defaults (2001)A barrier option framework for corporate security valuation (2003)Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller? (2006)
this work references cited by second hop

References

  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2006Interest rate models : theory and practice : with smile, inflation and credit737 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure444 cited
  • 2003Russian and American put options under exponential phase-type Lévy models339 cited
  • 2002Non-Gaussian Merton-Black-Scholes Theory324 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads319 cited
  • 2007On the optimal dividend problem for a spectrally negative Lévy process302 cited
  • 2000OPTION PRICING FOR TRUNCATED LÉVY PROCESSES284 cited
  • 2012The Theory of Scale Functions for Spectrally Negative Lévy Processes259 cited
  • 2002Non-Gaussian Merton-Black-Scholes Theory216 cited
  • 2002Optimal capital structure and endogenous default

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214 cited
  • 2004PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES159 cited
  • Cited by

    • 2019Static and Semi-Static Hedging as Contrarian or Conformist Bets29 cited
    • 2019SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS26 cited
    • 2016Pitfalls of the Fourier Transform Method in Affine Models, and Remedies26 cited
    • 2016RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL25 cited
    • 2016EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE24 cited