Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
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Publication:322636
DOI10.1016/j.ejor.2015.11.027zbMath1346.91232OpenAlexW2187278878MaRDI QIDQ322636
Guido Germano, Daniele Marazzina, Gianluca Fusai
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/67564/
Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20)
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