8 citations · 8 across the 4 of their papers we have counts for
4 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…
Multiplicity distributions in the low x regime in a simple model
G. R. Germano, F. S. Navarra
In this work we introduce small changes in the model proposed by E. Levin and D. Kharzeev for multiplicity distributions of particles produced in proton-proton collisions. We compa…
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…