29 citations · 43 across the 5 of their papers we have counts for
5 papers
Pricing methods for -quantile and perpetual early exercise options based on Spitzer identities
Carolyn E. Phelan, Daniele Marazzina, Guido Germano
We present new numerical schemes for pricing perpetual Bermudan and American options as well as -quantile options. This includes a new direct calculation of the optimal exercise…
Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms
Guido Germano, Carolyn E Phelan, Daniele Marazzina +1
We present numerical methods based on the fast Fourier transform (FFT) to solve convolution integral equations on a semi-infinite interval (Wiener-Hopf equation) or on a finite int…
Market structure dynamics during COVID-19 outbreak
Pier Francesco Procacci, Carolyn E. Phelan, Tomaso Aste
In this note, we discuss the impact of the COVID-19 outbreak from the perspective of the market-structure. We observe that the US market-structure has dramatically changed during t…
Fluctuation identities with continuous monitoring and their application to price barrier options
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai +1
We present a numerical scheme to calculate fluctuation identities for exponential Lévy processes in the continuous monitoring case. This includes the Spitzer identities for touchin…
Hilbert transform, spectral filters and option pricing
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai +1
We show how spectral filters can improve the convergence of numerical schemes which use discrete Hilbert transforms based on a sinc function expansion, and thus ultimately on the f…