Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options.
Gianluca FusaiGuido GermanoDaniele MarazzinaPublished in: Eur. J. Oper. Res. (2016)
Keyphrases
- option pricing
- black scholes model
- double exponential
- singular value decomposition
- additive noise
- black scholes
- stock price
- matrix factorization
- identity management
- wiener filter
- kronecker product
- decision analysis
- distributional assumptions
- profit maximization
- factorization method
- real time
- revenue management
- non rigid structure from motion
- optimal pricing
- denoising
- neural network