Pricing discrete barrier options and credit default swaps under Lévy processes
研究了在莱维模型下为离散监测的障碍期权和信用违约互换定价，使用分段多项式插值和傅里叶变换技术，并给出了参数选择建议以减少误差。
We consider discretely monitored barrier options under L�vy models, including single and double barrier options and first-touch digitals, as well as CDS and defaultable bonds. At each step of backward induction, we use piece-wise polynomial interpolation and an efficient version of the Fourier transform technique, which allows for efficient error control. We derive accurate recommendations for the choice of parameters of the numerical scheme, and produce numerical examples showing that oversimplified prescriptions in other methods can result in large errors.