Carolyn Phelan

University College London - Financial Computing and Analytics Group, Department of Computer Science

PhD Student

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

70

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Hilbert Transform, Spectral Filtering and Option Pricing

Number of pages: 30 Posted: 04 Jul 2017
University College London - Financial Computing and Analytics Group, Department of Computer Science, Polytechnic University of Milan - Department of Mathematics, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University College London
Downloads 46 (404,939)
Citation 1

Abstract:

Loading...

Double-Barrier Options, Discrete Monitoring, Lévy Processes, Spitzer Identity, Wiener-Hopf Factorisation, Hilbert Transform, Fourier Transform, FFT, Z-Transform, Sinc Function, Gibbs Phenomenon, Spectral Filtering

2.

Pricing Methods for Alpha-Quantile and Perpetual Early Exercise Options Based on Spitzer Identities

Number of pages: 29 Posted: 02 May 2019
Carolyn Phelan, Daniele Marazzina and Guido Germano
University College London - Financial Computing and Analytics Group, Department of Computer Science, Polytechnic University of Milan - Department of Mathematics and University College London
Downloads 12 (573,871)

Abstract:

Loading...

Lèvy processes, Spitzer identities, hindsight options, perpetual Bermudan options, perpetual American options

3.

Fluctuation Identities with Continuous Monitoring and Their Application to Price Barrier Options

Number of pages: 30 Posted: 05 Dec 2017
University College London - Financial Computing and Analytics Group, Department of Computer Science, Polytechnic University of Milan - Department of Mathematics, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University College London
Downloads 12 (573,871)
Citation 2

Abstract:

Loading...

Finance, Wiener-Hopf Factorisation, Hilbert Transform, Laplace Transform, Spectral Filter