Items where Author is "Fusai, Gianluca"

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Article

Fluctuation identities with continuous monitoring and their application to price barrier options. Phelan, Carolyn E. and Marazzina, Daniele and Fusai, Gianluca and Germano, Guido

Hilbert transform, spectral filters and option pricing. Phelan, Carolyn E. and Marazzina, Daniele and Fusai, Gianluca and Germano, Guido

Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. Fusai, Gianluca and Germano, Guido and Marazzina, Daniele