Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions (Q2873135)

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Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
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    Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions (English)
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    23 January 2014
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    arithmetic Asian options
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    exponential Lévy asset price processes
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    Fourier cosine expansions
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    Clenshaw-Curtis quadrature
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    exponential convergence
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