Abstract The Wiener-Hopf factorization of a complex function arises in a variety of fields in
applied mathematics such as probability, finance, insurance, queuing theory, radio …

We present a numerical scheme to calculate fluctuation identities for exponential Lévy
processes in the continuous monitoring case. This includes the Spitzer identities for touching …

Fusai, Abrahams, and Sgarra (2006) employed the Wiener–Hopf technique to obtain an
exact analytic expression for discretely monitored barrier option prices as the solution to the …

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 …

Most contracts of barrier and lookback options specify discrete monitoring policies. However,
unlike their continuous counterparts, discrete barrier and lookback options essentially have …

In this paper, we apply Carr's randomization approximation and the operator form of the
Wiener‐Hopf method to double barrier options in continuous time. Each step in the resulting …

We suggest two new fast and accurate methods, the fast Wiener–Hopf (FWH) method and
the iterative Wiener–Hopf (IWH) method, for pricing barrier options for a wide class of Lévy …

This paper develops algorithms for the pricing of discretely sampled barrier, lookback, and
hindsight options and discretely exercisable American options. Under the Black-Scholes …

We construct fast and accurate methods for (a) approximate Laplace inversion,(b)
approximate calculation of the Wiener-Hopf factors for wide classes of Lévy processes with …

We discuss a simple new approach to calculating expectations of a specific form used for the
pricing of derivative assets in financial mathematics. We show that in the 'vanilla case', the …