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 …

In this paper, we propose a general data-driven framework that unifies the valuation and risk
measurement of financial derivatives, which is especially useful in markets with thinly-traded …

Classical option pricing theories are usually built on the paradigm of competitive and
frictionless markets, while ignoring the impact of market liquidity on underlying asset prices …

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 …

We clarify the relations among different Fourier-based approaches to option pricing, and
improve the B-spline probability density projection method using the sinh-acceleration …

We prove simple general formulas for expectations of functions of a random walk and its
running extremum. Under additional conditions, we derive analytical formulas using the …

This paper develops an eigenfunction expansion approach to solve discretely monitored first
passage time problems for a rich class of Markov processes, including diffusions and …

We compute an analytical expression for the moment generating function of the joint random
vector consisting of a spot price and its discretely monitored average for a large class of …

In the present paper we explore the problem for pricing discrete barrier options utilizing the
Black–Scholes model for the random movement of the asset price. We postulate the problem …

We construct efficient and accurate numerical algorithms for pricing discretely monitored
barrier and Bermudan style options under time-changed Lévy processes by applying the fast …