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A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes - MaRDI portal

A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes

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Publication:6552966

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DOI10.1007/s10287-024-00519-wMaRDI QIDQ6552966

Oleg Kudryavtsev

Publication date: 11 June 2024

Published in: Computational Management Science (Search for Journal in Brave)

zbMATH Keywords

Lévy processes numerical methods option pricing Wiener-Hopf factorization computational finance

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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