Items where Author is "Phelan, C. E."
Up a level
Group by: Type | No Grouping
Number of items: 2.
Article
Phelan, C. E., Marazzina, D., Fusai, G. ORCID: 0000-0001-9215-2586 & Germano, G. (2018). Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. European Journal of Operational Research, 271(1), pp. 210-223. doi: 10.1016/j.ejor.2018.04.016
Phelan, C. E., Marazzina, D., Fusai, G. ORCID: 0000-0001-9215-2586 & Germano, G. (2018). Hilbert transform, spectral filters and option pricing. Annals of Operations Research, 282(1-2), pp. 273-298. doi: 10.1007/s10479-018-2881-4