Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636): Difference between revisions

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Latest revision as of 16:08, 12 July 2024

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Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
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    Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (English)
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    7 October 2016
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    path-dependent options
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    Hilbert transform
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    Lévy process
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    Spitzer identity
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    Wiener-Hopf factorization
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