Pages that link to "Item:Q3553256"
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The following pages link to THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING (Q3553256):
Displaying 17 items.
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636) (← links)
- Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Q724078) (← links)
- Pricing and hedging defaultable participating contracts with regime switching and jump risk (Q777938) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- Option pricing, maturity randomization and distributed computing (Q991134) (← links)
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options (Q1634312) (← links)
- Timing portfolio strategies with exponential Lévy processes (Q1722752) (← links)
- Hilbert transform, spectral filters and option pricing (Q2288941) (← links)
- Pricing financial claims contingent upon an underlying asset monitored at discrete times (Q2476662) (← links)
- An exact analytical solution for discrete barrier options (Q2488504) (← links)
- A constructive method for an approximate solution to scalar Wiener-Hopf equations (Q2831289) (← links)
- Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals (Q3121475) (← links)
- WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING (Q4226862) (← links)
- An Iterative Wiener--Hopf Method for Triangular Matrix Functions with Exponential Factors (Q4602486) (← links)
- Applying an iterative method numerically to solve <i>n</i> × <i>n</i> matrix Wiener–Hopf equations with exponential factors (Q4993478) (← links)
- Pricing methods for <i>α</i>-quantile and perpetual early exercise options based on Spitzer identities (Q5139204) (← links)
- Lookback option pricing using the Fourier transform B-spline method (Q5245351) (← links)
