A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options (Q5014528)
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scientific article; zbMATH DE number 7440865
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options |
scientific article; zbMATH DE number 7440865 |
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A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options (English)
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8 December 2021
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Wiener-Hopf factorization
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barrier options
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Levy processes
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numerical methods
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Laplace transform
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