ICASSP
2011
IEEE
13 years 3 months ago
2011
IEEE
This paper presents a novel time-adaptive estimation technique by revisiting the classical Wiener-Hopf equation. Any convex and not necessarily differentiable function can be used...
FS
2006
13 years 11 months ago
2006
In the present paper we provide an analytical solution for pricing discrete barrier options in the Black-Scholes framework. We reduce the valuation problem to a Wiener-Hopf equatio...