ICASSP
2011
IEEE
12 years 8 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 5 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...