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Pricing Barrier Options and Credit Default Swaps (CDS) in Spectrally One-Sided Levy Models: The Parabolic Laplace Inversion Method

https://doi.org/10.2139/ssrn.2348194
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1 of 24 checkable references need attention · checked 2026-08-27

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References needing attention

does not resolve to a known work10.1017/s0021900200018386
The 23 checked references that resolve
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VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS
resolves10.2139/ssrn.2138661
Fast Simulation of Levy Processes
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VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES
resolves10.1142/s0219024909005610
PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS
resolves10.2139/ssrn.1142833
Refined and Enhanced Fast Fourier Transform Techniques, with an Application to the Pricing of Barrier Options
resolves10.2139/ssrn.1846633
New Efficient Versions of Fourier Transform Method in Applications to Option Pricing
resolves10.1142/s0219024900000541
OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
resolves10.1214/aoap/1037125863
Barrier options and touch-and-out options under regular Lévy processes of exponential type
resolves10.1142/4955
Non-Gaussian Merton-Black-Scholes Theory
resolves10.1142/s0219024913500118
EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS
resolves10.1086/338705
The Fine Structure of Asset Returns: An Empirical Investigation
resolves10.1080/14697688.2013.826814
Pricing discrete barrier options and credit default swaps under Lévy processes
resolves10.1103/physreve.52.1197
Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process
resolves10.1214/09-aap673
Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes
resolves10.1214/11-aap787
Meromorphic Lévy processes and their fluctuation identities
resolves10.1111/j.1540-6261.1994.tb02452.x
Corporate Debt Value, Bond Covenants, and Optimal Capital Structure
resolves10.1111/j.1540-6261.1996.tb02714.x
Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads
resolves10.1142/s0219024912500501
EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL
resolves10.2139/ssrn.2267107
Method of Paired Contours and Pricing Barrier Options and CDs of Long Maturities
resolves10.2139/ssrn.2088214
Pricing of Discretely Sampled Asian Options Under Levy Processes
resolves10.2139/ssrn.1003144
Break on Through to the Single Side
resolves10.1007/978-1-4612-2706-9
Numerical Methods Based on Sinc and Analytic Functions
resolves10.1093/imamat/23.1.97
The Accurate Numerical Inversion of Laplace Transforms
The 2 references without a DOI — listed, not checked
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no DOI — not checkedref8
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