A simple Wiener-Hopf factorization approach for pricing double-barrier options (Q5014528)
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scientific article; zbMATH DE number 7440865
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| English | A simple Wiener-Hopf factorization approach for pricing double-barrier options |
scientific article; zbMATH DE number 7440865 |
Statements
A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options (English)
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8 December 2021
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Wiener-Hopf factorization
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barrier options
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Levy processes
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numerical methods
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Laplace transform
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0.8471710681915283
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0.8436788320541382
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0.8346897959709167
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0.8334856033325195
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0.8249995112419128
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