3 papers
math.NA2021
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…
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
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…