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Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions

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

Book ID: 122018169
Publisher: Elsevier Science
Year: 2014
Tongue: English
Weight: 505 KB
Volume: 78
Category: Article
ISSN: 0168-9274
DOI: 10.1016/j.apnum.2013.11.004

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