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Carolyn E. Phelan - Publications

Affiliations: 
2014-2018 Department of Computer Science University College London, London, United Kingdom 
Area:
Computational finance
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3 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Phelan CE, Marazzina D, Germano G. Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities Quantitative Finance. 20: 899-918. DOI: 10.1080/14697688.2020.1718192  0.356
2019 Phelan CE, Marazzina D, Fusai G, Germano G. Hilbert transform, spectral filters and option pricing Annals of Operations Research. 282: 273-298. DOI: 10.1007/S10479-018-2881-4  0.404
2018 Phelan CE, Marazzina D, Fusai G, Germano G. Fluctuation identities with continuous monitoring and their application to the pricing of barrier options European Journal of Operational Research. 271: 210-223. DOI: 10.1016/J.Ejor.2018.04.016  0.408
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