Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions (Q2437361): Difference between revisions

@@ Property / author @@
+Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+CUDA
@@ Property / describes a project that uses: CUDA / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2018111928
@@ Property / OpenAlex ID: W2018111928 / rank @@
+Normal rank
@@ Property / cites work @@
+A Dynamic Programming Procedure for Pricing American-Style Asian Options
+Normal rank
@@ Property / cites work @@
+Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
+Normal rank
@@ Property / cites work @@
+Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
+Normal rank
@@ Property / cites work @@
+Q2781419
@@ Property / cites work: Q2781419 / rank @@
+Normal rank
@@ Property / cites work @@
+Accurate and efficient lattice algorithms for American-style Asian options with range bounds
+Normal rank
@@ Property / cites work @@
+A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
+Normal rank
@@ Property / cites work @@
+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
+Normal rank
@@ Property / cites work @@
+Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
+Normal rank
@@ Property / cites work @@
+Is Gauss Quadrature Better than Clenshaw–Curtis?
+Normal rank
@@ Property / cites work @@
+Fast construction of the Fejér and Clenshaw-Curtis quadrature rules
+Normal rank
@@ Property / cites work @@
+Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
+Normal rank