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

8 citations · 8 across the 4 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…