A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options

DOI10.1007/978-3-030-76829-4_15zbMath1479.91405OpenAlexW3196726890MaRDI QIDQ5014528

Oleg Kudryavtsev

Publication date: 8 December 2021

Published in: Operator Theory and Harmonic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-76829-4_15

zbMATH Keywords

Laplace transformnumerical methodsWiener-Hopf factorizationLevy processesbarrier options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

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