Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Q724078)
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scientific article; zbMATH DE number 6910095
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| default for all languages | No label defined |
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| English | Fluctuation identities with continuous monitoring and their application to the pricing of barrier options |
scientific article; zbMATH DE number 6910095 |
Statements
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (English)
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25 July 2018
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option pricing
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finance
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Wiener-Hopf factorisation
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Hilbert transform
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Laplace transform
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spectral filter
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0.7784246206283569
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0.7778013944625854
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0.7755451798439026
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0.767587423324585
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0.7664413452148438
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