Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options

Gianluca Fusai, Guido Germano, Daniele Marazzina. Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. European Journal of Operational Research, 251(1):124-134, 2016. [doi]

Abstract

Abstract is missing.