Spitzer identity, Wiener-Hopf factorization and pricing of...

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European Journal of Operational Research 2015 / 12

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

Fusai, Gianluca, Germano, Guido, Marazzina, Daniele
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Language:
english
Journal:
European Journal of Operational Research
DOI:
10.1016/j.ejor.2015.11.027
Date:
December, 2015
File:
PDF, 1.08 MB
english, 2015
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