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Explicit solutions for the exit problem for a class of Lévy processes. Applications to the pricing of double barrier options
Explicit solutions for the exit problem class Lévy processes Applications pricing double barrier options
2010/10/19
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute ...
Explicit solutions for the exit problem for a class of Lévy processes. Applications to the pricing of double barrier options
Explicit solutions exit problem Lévy processes
2010/4/27
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute t...