A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
Peter den Iseger; Paul Gruntjes; Michel Mandjes
| Year of publication: |
2013
|
|---|---|
| Authors: | Iseger, Peter den ; Gruntjes, Paul ; Mandjes, Michel |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 78.2013, 1, p. 101-118
|
| Subject: | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Numerisches Verfahren | Numerical analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009774853