An improved convolution algorithm for discretely sampled Asian options (Q3169216): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Spectral Expansions for Asian (Average Price) Options / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: The Variance Gamma Process and Option Pricing / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: The value of an Asian option / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Necessary and Sufficient Conditions for Differentiating under the Integral Sign / rank | |||
Normal rank | |||
Latest revision as of 23:37, 3 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)
0 references
28 April 2011
0 references
asset pricing
0 references
incomplete markets
0 references
performance evaluation
0 references
path-dependent options
0 references
0 references
