Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models

DOI10.1007/978-3-642-18412-3_8zbMath1232.91661arXiv0911.0373OpenAlexW1502035969MaRDI QIDQ5198561

Antonis Papapantoleon, Kathrin Glau, Ernst Eberlein

Publication date: 8 August 2011

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

Full work available at URL: https://arxiv.org/abs/0911.0373

zbMATH Keywords

Lévy processesWiener-Hopf factorizationexotic options

Mathematics Subject Classification ID

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

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