Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options

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/

zbMATH Keywords

Hilbert transformWiener-Hopf factorizationLévy processpath-dependent optionsSpitzer identity

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20)

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