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20172021
most citedPricing methods for -quantile and perpetual early exercise options based on Spitzer identities

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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…