2011•Unpublished venueRequires access

Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models

Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon

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Key concepts: Infimum and supremum, Exotic option, Valuation (finance), Lévy process, Factorization, Mathematics, Mathematical economics, Valuation of options

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