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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Eberlein, E.; Glau, K.; Papapantoleon, A. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
Analyticity of the Wiener-Hopf Factors and Valuation of Exotic Options in Lévy Models 
Abstract:
This paper considers the valuation of exotic path-dependent options in Lévy models, in particular options on the supremum and the infimum of the asset price process. Using the Wiener-Hopf factorization, we derive expressions for the analytically extended characteristic function of the supremum and the infimum of a Lévy process. Combined with general results on Fourier methods for option pricing, we provide formulas for the valuation of one-touch options, lookback options and equity default swaps...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Advanced Mathematical Methods for Finance 
Jahr:
2011 
Seitenangaben Beitrag:
223-245 
Reviewed:
ja 
Sprache:
en 
Verlag / Institution:
Springer-Verlag 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein