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A Hilbert transform approach for controlled jump-diffusions with financial applications
Ge, Yingming
;
Li, Lingfei
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012603237
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Computing exponential moments of the discrete maximum of a Lévy process and lookback options
Feng, Liming
;
Linetsky, Vadim
- In:
Finance and Stochastics
13
(
2009
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10005061361
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