29 citations · 38 across the 9 of their papers we have counts for
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q-fin.CP2017
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…
q-fin.CP2017★ 29 cited
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…