I'm currently writing my BSc thesis on Lookback Option pricing under Ornstein Uhlenbeck Processes. I'm using the COS method for this. For this I need to find the fourier transform of the pdf (characteristic function) of the supremum of a OU process. I have tried to find articles on this but to no avail. Does anyone perhaps know of any articles describing ehat im looking for? Thanks in advance!!
2026-03-30 17:00:15.1774890015
Finding the Characteristic Function for the Supremum of a OU Process
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