Search Results - subject:"Wiener–Hopf factorization"

Moments of maximum of Lévy processes : application to barrier and lookback option pricing

Li, Yuan; Shiraya, Kenichiro; Umezawa, Yuji; Yamazaki, Akira - 2022

Persistent link: https://www.econbiz.de/10013271751

Phase-type models in life insurance: Fitting and valuation of equity-linked benefits

Asmussen, Søren; Laub, Patrick J.; Yang, Hailiang - In: Risks 7 (2019) 1, pp. 1-22

closely related to the Wiener-Hopf factorization, for which recently, a Lévy process version has been developed for a PH …

Persistent link: https://www.econbiz.de/10013200435

Phase-type models in life insurance : fitting and valuation of equity-linked benefits

Asmussen, Søren; Laub, Patrick J.; Yang, Hailiang - In: Risks : open access journal 7 (2019) 1/17, pp. 1-22

closely related to the Wiener-Hopf factorization, for which recently, a Lévy process version has been developed for a PH …

Persistent link: https://www.econbiz.de/10012016031

The linear systems approach to linear rational expectations models

Sadoon, Majid M. al- - 2016

Persistent link: https://www.econbiz.de/10011442545

The linear systems approach to linear rational expectations models

Sadoon, Majid M. al- - 2016 - This version November 2016

Persistent link: https://www.econbiz.de/10011590194

Efficient pricing options under regime switching

Kudryavtsev, Oleg - HAL - 2010

/without regime switching. Both methods are based on the numerical Laplace transform inversion formulae and the Fast Wiener-Hopf … factorization method developed in Kudryavtsev and Levendorski\v{i} (Finance Stoch. 13: 531--562, 2009). The first method uses the …

Persistent link: https://www.econbiz.de/10008833329