Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano
| Year of publication: |
16 November 2018
|
|---|---|
| Authors: | Phelan, Carolyn E. ; Marazzina, Daniele ; Fusai, Gianluca ; Germano, Guido |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 271.2018, 1 (16.11.), p. 210-223
|
| Subject: | Option pricing | Finance | Wiener-Hopf factorisation | Hilbert transform | Laplace transform | Spectral filter | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2018.04.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011882800