Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
Year of publication: |
2016
|
---|---|
Authors: | Fusai, Gianluca ; Germano, Guido ; Marazzina, Daniele |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 251.2016, 1 (16.5.), p. 124-134
|
Subject: | Path-dependent options | Hilbert transform | Lévy process | Spitzer identity | Wiener-Hopf factorization | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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