Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Q724078): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fluctuation identities with continuous monitoring and their application to the pricing of barrier options |
scientific article |
Statements
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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