Items where Author is "Fusai, Gianluca"

Phelan, Carolyn E., Marazzina, Daniele, Fusai, Gianluca and Germano, Guido (2018) Fluctuation identities with continuous monitoring and their application to price barrier options. European Journal of Operational Research, 271 (1). pp. 210-223. ISSN 0377-2217

Phelan, Carolyn E., Marazzina, Daniele, Fusai, Gianluca and Germano, Guido (2018) Hilbert transform, spectral filters and option pricing. Annals of Operations Research. pp. 1-26. ISSN 0254-5330

Fusai, Gianluca, Germano, Guido and Marazzina, Daniele (2016) Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. European Journal of Operational Research, 251 (1). pp. 124-134. ISSN 0377-2217