An improved convolution algorithm for discretely sampled Asian options (Q3169216): Difference between revisions
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| Property / cites work: Spectral Expansions for Asian (Average Price) Options / rank | |||
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| Property / cites work: A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes / rank | |||
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| Property / cites work: The Variance Gamma Process and Option Pricing / rank | |||
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| Property / cites work: The value of an Asian option / rank | |||
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| Property / cites work: Necessary and Sufficient Conditions for Differentiating under the Integral Sign / rank | |||
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Latest revision as of 00:37, 4 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An improved convolution algorithm for discretely sampled Asian options |
scientific article |
Statements
An improved convolution algorithm for discretely sampled Asian options (English)
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28 April 2011
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asset pricing
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incomplete markets
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performance evaluation
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path-dependent options
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