Fluctuation Identities with Continuous Monitoring and Their Application to Price Barrier Options

Keyphrases

• Discrete Monitoring 100%
• Price Barriers 100%
• Barrier Options 100%
• Continuous Monitoring 100%
• Fourier 66%
• Ĺevy Process 66%
• Numerical Methods 33%
• Low Barrier 33%
• Difficult Cases 33%
• Underlying Asset 33%
• Error Convergence 33%
• Numerical Scheme 33%
• Laplace Domain 33%
• Error Bound 33%
• Fast Hilbert Transform 33%
• Error Analysis 33%
• Inverse Transform 33%
• Numerical Inverse 33%
• Truncation Error 33%
• Monitoring Time 33%
• Silicon Nanocrystals 33%
• Exit Conditions 33%
• Spitzer's Identity 33%
• Z-domain 33%
• Wiener-Hopf Factorization 33%

Mathematics

• Barrier Option 100%
• Continuous Case 50%
• Numerical Scheme 50%
• Error Analysis 50%
• Truncation Error 50%
• Underlying Asset 50%
• Time Step 50%
• Factorization 50%
• Convergence Error 50%
• Error Bound 50%
• Hilbert Transform 50%
• Inverse Transform 50%
• Mathematical Method 50%