Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options — Online Supplementary Material
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چکیده
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Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
TheWiener-Hopf factorization of a complex function arises in a variety of fields in applied mathematics such as probability, finance, insurance, queuing theory, radio engineering and fluid mechanics. The factorization fully characterizes the distribution of functionals of a random walk or a Lévy process, such as the maximum, the minimum and hitting times. Here we propose a constructive procedur...
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