Items where Author is "Marazzina, Daniele"

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Article

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

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

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