Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions

✍ Scribed by Zhang, B.; Oosterlee, C. W.

• Book ID: 126743471
• Publisher: Society for Industrial and Applied Mathematics
• Year: 2013
• Tongue: English
• Weight: 374 KB
• Volume: 4
• Category: Article
• ISSN: 1945-497X
• DOI: 10.1137/110853339