Efficient Laplace Inversion, Wiener-Hopf Factorization And Pricing Lookbacks
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References listed on IDEAS
- Svetlana I Boyarchenko & Sergei Z Levendorskii, 2002. "Non-Gaussian Merton-Black-Scholes Theory," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4955.
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KeywordsLaplace inversion; Wiener-Hopf factorization; lookback option; Fourier transform; conformal deformations; parabolic inverse Fourier transform; parabolic inverse Laplace transform;
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