THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING
DOI10.1111/J.1467-9965.2010.00397.XzbMATH Open1211.91233OpenAlexW2090567762MaRDI QIDQ3553256FDOQ3553256
Authors: Ross Green, Gianluca Fusai, I. D. Abrahams 
Publication date: 22 April 2010
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5994/4/wienerhopf.pdf
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option pricingdiscrete monitoringbarrierWiener-Hopf techniquePadé approximantsdouble-barrierfirst-touchhindsight
Derivative securities (option pricing, hedging, etc.) (91G20) Sums of independent random variables; random walks (60G50)
Cites Work
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- Barrier options and touch-and-out options under regular Lévy processes of exponential type
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
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- An exact analytical solution for discrete barrier options
- A Wiener-Hopf Type Method for a General Random Walk with a Two-Sided Boundary
- On the Distribution of the Supremum Functional for Processes with Stationary Independent Increments
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- A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
- Pricing double barrier options using Laplace transforms
- Comment on ``Pricing double barrier options using Laplace transforms by Antoon Pelsser
- An analytic approach to finite fluctuation problems in probability
- The application of Padeapproximants to Wiener-Hopf factorization
- A Generalization of Wald's Identity with Applications to Random Walks
Cited In (19)
- Computation of first-order greeks for barrier options using chain rules for Wiener path integrals
- Pricing and hedging defaultable participating contracts with regime switching and jump risk
- A constructive method for an approximate solution to scalar Wiener-Hopf equations
- Option pricing, maturity randomization and distributed computing
- Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
- Pricing methods for \(\alpha \)-quantile and perpetual early exercise options based on Spitzer identities
- Hilbert transform, spectral filters and option pricing
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
- Pricing credit derivatives in a Wiener-Hopf framework
- WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING
- An exact analytical solution for discrete barrier options
- A general approach for lookback option pricing under Markov models
- Pricing financial claims contingent upon an underlying asset monitored at discrete times
- An iterative Wiener-Hopf method for triangular matrix functions with exponential factors
- Lookback option pricing using the Fourier transform B-spline method
- Timing portfolio strategies with exponential Lévy processes
- Applying an iterative method numerically to solve \(n \times n\) matrix Wiener-Hopf equations with exponential factors
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