Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options
Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options
The Wiener-Hopf factorization of a complex function arises in a variety of fields in applied mathematics such as probability, finance, insurance, queuing theory, radio engineering and fluid mechanics. The factorization fully characterizes the distribution of functionals of a random walk or a Lévy process, such as the maximum, the minimum …