THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING

DOI10.1111/j.1467-9965.2010.00397.xzbMath1211.91233OpenAlexW2090567762MaRDI QIDQ3553256

Ross Green, Gianluca Fusai, I. David Abrahams

Publication date: 22 April 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5994/4/wienerhopf.pdf

zbMATH Keywords

option pricingWiener-Hopf techniquePadé approximantsbarrierdiscrete monitoringdouble-barrierfirst-touchhindsight

Mathematics Subject Classification ID

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