170 citations · 200 across the 17 of their papers we have counts for
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q-fin.PR2009★ 1 cited
Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models
Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon
This paper considers the valuation of exotic path-dependent options in Lévy models, in particular options on the supremum and the infimum of the asset price process. Using the Wien…
q-fin.PR2008★ 170 cited
Analysis of Fourier transform valuation formulas and applications
Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon
The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option…