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- W4299367066 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." @default.
- W4299367066 created "2022-10-02" @default.
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- W4299367066 date "2013-04-05" @default.
- W4299367066 modified "2023-10-14" @default.
- W4299367066 title "Pricing approximations and error estimates for local L'evy-type models with default" @default.
- W4299367066 doi "https://doi.org/10.48550/arxiv.1304.1849" @default.
- W4299367066 hasPublicationYear "2013" @default.
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