A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes.

Oleg Kudryavtsev

Published in: Comput. Manag. Sci. (2024)

Keyphrases

factorization method
option pricing
black scholes model
structure from motion
matrix factorization
recovering shape
computer vision
least squares
singular value decomposition
recommender systems
d objects