Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10346095 | Computers & Mathematics with Applications | 2015 | 31 Pages |
Abstract
We find approximate solutions of partial integro-differential equations, which arise in financial models when defaultable assets are described by general scalar Lévy-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.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci,