Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes (Q298749): Difference between revisions

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+https://doi.org/10.1016/j.amc.2014.12.002
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+W2043003322
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+Q4952715
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+PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
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+Monte Carlo methods for security pricing
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+Connecting discrete and continuous path-dependent options
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+BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS
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+Pricing Asian options in a semimartingale model
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+Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
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@@ links / mardi / name / links / mardi / name @@
+Publication:298749