Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636)
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scientific article; zbMATH DE number 6636120
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| English | Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options |
scientific article; zbMATH DE number 6636120 |
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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0.829171359539032
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0.8213173747062683
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0.8173806071281433
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0.7975160479545593
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0.7964988350868225
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