Pricing financial claims contingent upon an underlying asset monitored at discrete times

Keyphrases

• Wiener-Hopf Equation 100%
• Underlying Asset 100%
• Discrete-time 100%
• Financial Claims 100%
• Asset Prices 100%
• Option Contract 100%
• Black-Scholes 50%
• Lvy Processes 50%
• Barrier Options 50%
• Continuous Monitoring 50%
• Accurate Approximation 50%
• Fourier Transform 50%
• Random Walk 50%
• Pricing Problem 50%
• Pricing Method 50%
• Option Pricing 50%
• Z-transform 50%
• Analytic Expression 50%
• Absorbing Boundary 50%
• Trapezoidal Rule 50%
• Efficient Approximation 50%
• Probabilistic Identities 50%
• Price Discrepancy 50%
• Exotic Options 50%
• Discrete Set 50%
• Inverse Z-transform 50%
• Pad Approximants 50%
• Approximate Inverse 50%

Mathematics

• Underlying Asset 100%
• Discrete Time 100%
• Contingent Claim 100%
• Asset Price 100%
• Barrier Option 50%
• Approximates 50%
• Lvy Process 50%
• Fourier Transform 50%
• Gaussian Distribution 50%
• Option Pricing 50%
• Analytic Expression 50%
• Trapezoidal Rule 50%
• Approximant 50%
• Discrete Set 50%
• Random Walk 50%