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Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
Fusai, Gianluca; Germano, Guido; Marazzina, Daniele - In: European journal of operational research : EJOR 251 (2016) 1, pp. 124-134
Persistent link: https://www.econbiz.de/10011446230
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Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
Phelan, Carolyn E.; Marazzina, Daniele; Fusai, Gianluca; … - In: European journal of operational research : EJOR 271 (2018) 1, pp. 210-223
Persistent link: https://www.econbiz.de/10011882800
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Hilbert transform, spectral filters and option pricingh
Phelan, Carolyn E.; Marazzina, Daniele; Fusai, Gianluca; … - In: Application of operations research to financial markets, (pp. 273-298). 2019
Persistent link: https://www.econbiz.de/10012157552