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"Spitzer identity, Wiener-Hopf factorization and pricing of discretely ..."

Gianluca Fusai, Guido Germano, Daniele Marazzina (2016)

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DOI: 10.1016/J.EJOR.2015.11.027

access: closed

type: Journal Article

metadata version: 2020-02-21

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Gianluca Fusai, Guido Germano, Daniele Marazzina:
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. Eur. J. Oper. Res. 251(1): 124-134 (2016)

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