Computing, Telecommunications and Control
Computing, Telecommunications and Control Peter the Great St. Petersburg Polytechnic University
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Articles by keywords "Wiener-Hopf factorization"

Fast and efficient pricing barrier options under regime-switching levy models

Mathematical Modelling: Methods, algorithms, technologies
Kudryavtsev O.E.
  • Year: 2010
  • Issue: 1
  • 0
  • 7832
  • Pages: 136-141