Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions (Q2437361): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q592663 |
||
| Property / author | |||
| Property / author: Cornelis W. Oosterlee / rank | |||
Revision as of 23:11, 19 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions |
scientific article |
Statements
Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions (English)
0 references
3 March 2014
0 references
early-exercise Asian option
0 references
arithmetic average
0 references
Fourier cosine expansion
0 references
Clenshaw-Curtis quadrature
0 references
exponential convergence
0 references
graphics processing unit computation
0 references
