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Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (2016)

First Author: Fusai G

Attributed to: Systemic Risk Centre funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1016/j.ejor.2015.11.027

Publication URI: http://dx.doi.org/10.1016/j.ejor.2015.11.027

Type: Journal Article/Review

Parent Publication: European Journal of Operational Research

Issue: 1