“…The connection of the Wiener-Hopf equation with probabilistic problems was noticed by Spitzer (1957) and is discussed by Feller (1971), together with the application of Fourier transform methods to stochastic processes. More recently these equations have become of interest in finance to price discretely monitored path-dependent options like barrier, first-touch, lookback (or hindsight), quantile and Bermudan options (Fusai et al, 2006;Green et al, 2010;Fusai et al, 2012;Marazzina et al, 2012;Fusai et al, 2016;Phelan et al, 2018Phelan et al, , 2019Phelan et al, , 2020. The Wiener-Hopf method is employed also to solve a large collection of mixed boundary value problems (Duffy, 2008).…”