Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano. Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. European Journal of Operational Research, 271(1):210-223, 2018. [doi]
@article{PhelanMFG18,
title = {Fluctuation identities with continuous monitoring and their application to the pricing of barrier options},
author = {Carolyn E. Phelan and Daniele Marazzina and Gianluca Fusai and Guido Germano},
year = {2018},
doi = {10.1016/j.ejor.2018.04.016},
url = {https://doi.org/10.1016/j.ejor.2018.04.016},
researchr = {https://researchr.org/publication/PhelanMFG18},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {271},
number = {1},
pages = {210-223},
}