Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions (Q2437361): Difference between revisions
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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 |
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Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions (English)
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3 March 2014
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early-exercise Asian option
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arithmetic average
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Fourier cosine expansion
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Clenshaw-Curtis quadrature
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exponential convergence
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graphics processing unit computation
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