Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 60E10 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G51 / rank | |||
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| Property / zbMATH DE Number: 6636120 / rank | |||
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path-dependent options | |||
| Property / zbMATH Keywords: path-dependent options / rank | |||
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Hilbert transform | |||
| Property / zbMATH Keywords: Hilbert transform / rank | |||
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Lévy process | |||
| Property / zbMATH Keywords: Lévy process / rank | |||
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Spitzer identity | |||
| Property / zbMATH Keywords: Spitzer identity / rank | |||
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Wiener-Hopf factorization | |||
| Property / zbMATH Keywords: Wiener-Hopf factorization / rank | |||
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Revision as of 03:17, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options |
scientific article |
Statements
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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