Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions (Q2437361): Difference between revisions

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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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