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Publication Detail
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
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Publication Type:Journal article
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Publication Sub Type:Article
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Authors:Phelan CE, Marazzina D, Fusai G, Germano G
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Publisher:ELSEVIER SCIENCE BV
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Publication date:16/11/2018
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Pagination:210, 223
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Journal:EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
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Volume:271
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Issue:1
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Status:Published
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Print ISSN:0377-2217
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Language:English
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Keywords:Social Sciences, Science & Technology, Technology, Management, Operations Research & Management Science, Business & Economics, Option pricing, Finance, Wiener-Hopf factorisation, Hilbert transform, Laplace transform, Spectral filter, WIENER-HOPF FACTORIZATION, DISCRETE BARRIER, STOCHASTIC VOLATILITY, LOOKBACK OPTIONS, RETURNS, MODELS, SYSTEMS, QUEUE
Abstract
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