A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes
type: Item
instance of: scholarly article
title: A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes
author: Oleg Kudryavtsev
published in: Computational Management Science
publication date: 2024-06-11T00:00:00Z
Mathematics Subject Classification ID: 90Bxx
zbMATH DE Number: 7862737
zbMATH Keywords: Wiener-Hopf factorization
zbMATH Keywords: Lévy processes
zbMATH Keywords: numerical methods
zbMATH Keywords: option pricing
zbMATH Keywords: computational finance
MaRDI profile type: Publication
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DOI: 10.1007/S10287-024-00519-W
description: scientific article; zbMATH DE number 7862737