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A simple Wiener-Hopf factorization approach for pricing double-barrier options. (English) Zbl 1479.91405

Karapetyants, Alexey N. (ed.) et al., Operator theory and harmonic analysis. OTHA 2020, Part II – probability-analytical models, methods and applications. Based on the international conference on modern methods, problems and applications of operator theory and harmonic analysis. Cham: Springer. Springer Proc. Math. Stat. 358, 273-291 (2021).
MSC:  91G20 60G51 44A10
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Double-barrier option pricing under the hyper-exponential jump diffusion model. (English) Zbl 1479.91398

Karapetyants, Alexey N. (ed.) et al., Operator theory and harmonic analysis. OTHA 2020, Part II – probability-analytical models, methods and applications. Based on the international conference on modern methods, problems and applications of operator theory and harmonic analysis. Cham: Springer. Springer Proc. Math. Stat. 358, 197-217 (2021).
MSC:  91G20 60G51 60J74
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Recent developments on fractional point processes. (English) Zbl 1468.60048

Beghin, Luisa (ed.) et al., Nonlocal and fractional operators. Selected papers based on the presentations at the international workshop, Rome, Italy, April 12–13, 2019. Cham: Springer. SEMA SIMAI Springer Ser. 26, 205-222 (2021).
MSC:  60G22 60G55
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