An improved convolution algorithm for discretely sampled Asian options (Q3169216): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2071288491
@@ Property / OpenAlex ID: W2071288491 / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral Expansions for Asian (Average Price) Options
+Normal rank
@@ Property / cites work @@
+A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
+Normal rank
@@ Property / cites work @@
+Necessary and Sufficient Conditions for Differentiating under the Integral Sign
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:3169216