Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models
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Publication:5198561
DOI10.1007/978-3-642-18412-3_8zbMath1232.91661arXiv0911.0373MaRDI QIDQ5198561
Antonis Papapantoleon, Kathrin Glau, Ernst Eberlein
Publication date: 8 August 2011
Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0911.0373
60G51: Processes with independent increments; Lévy processes
91G20: Derivative securities (option pricing, hedging, etc.)
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