THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING
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Publication:3553256
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Cites work
- scientific article; zbMATH DE number 193410 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
- A Generalization of Wald's Identity with Applications to Random Walks
- A Wiener-Hopf Type Method for a General Random Walk with a Two-Sided Boundary
- An analytic approach to finite fluctuation problems in probability
- An exact analytical solution for discrete barrier options
- Analysis of quadrature methods for pricing discrete barrier options
- Barrier options and touch-and-out options under regular Lévy processes of exponential type
- Comment on ``Pricing double barrier options using Laplace transforms by Antoon Pelsser
- Connecting discrete and continuous path-dependent options
- Numerical inversion of probability generating functions
- On the Distribution of the Supremum Functional for Processes with Stationary Independent Increments
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
- Pricing double barrier options using Laplace transforms
- The application of Padeapproximants to Wiener-Hopf factorization
Cited in
(19)- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
- Lookback option pricing using the Fourier transform B-spline method
- WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING
- Timing portfolio strategies with exponential Lévy processes
- An iterative Wiener-Hopf method for triangular matrix functions with exponential factors
- Computation of first-order greeks for barrier options using chain rules for Wiener path integrals
- An exact analytical solution for discrete barrier options
- Hilbert transform, spectral filters and option pricing
- Applying an iterative method numerically to solve \(n \times n\) matrix Wiener-Hopf equations with exponential factors
- Pricing methods for \(\alpha \)-quantile and perpetual early exercise options based on Spitzer identities
- Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
- A general approach for lookback option pricing under Markov models
- A constructive method for an approximate solution to scalar Wiener-Hopf equations
- 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
- Pricing and hedging defaultable participating contracts with regime switching and jump risk
- Pricing financial claims contingent upon an underlying asset monitored at discrete times
- Option pricing, maturity randomization and distributed computing
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