EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS (Q2841327)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS |
scientific article |
Statements
EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS (English)
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24 July 2013
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Laplace inversion
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Wiener-Hopf factorization
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lookback option
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Fourier transform
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conformal deformations
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parabolic inverse Fourier transform
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parabolic inverse Laplace transform
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