Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions (Q2873135): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 19:28, 3 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions |
scientific article |
Statements
Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions (English)
0 references
23 January 2014
0 references
arithmetic Asian options
0 references
exponential Lévy asset price processes
0 references
Fourier cosine expansions
0 references
Clenshaw-Curtis quadrature
0 references
exponential convergence
0 references
