On three methods for analytic Laplace inversion in the framework of Brownian motion and their excursions
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Publication:2850031
DOI10.1090/S0033-569X-2013-01324-5zbMath1278.44001OpenAlexW2009579139MaRDI QIDQ2850031
Publication date: 20 September 2013
Published in: Quarterly of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/s0033-569x-2013-01324-5
excursionsLaplace transformconvolutionBrownian motionanalytic Laplace inversionAzémas martingalesParisian barrier options
Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)
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