Pricing approximations and error estimates for local Lévy-type models with default

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci. Pricing approximations and error estimates for local Lévy-type models with default. Computers & Mathematics with Applications, 69(10):1189-1219, 2015. [doi]

Authors

Matthew Lorig

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Stefano Pagliarani

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Andrea Pascucci

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