Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Q724078): Difference between revisions

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Revision as of 20:29, 19 March 2024

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Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
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    Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (English)
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    25 July 2018
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    option pricing
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    finance
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    Wiener-Hopf factorisation
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    Hilbert transform
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    Laplace transform
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    spectral filter
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