BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS

DOI10.1017/S1446181115000231zbMath1373.60082MaRDI QIDQ5369446

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Publication date: 17 October 2017

Published in: The ANZIAM Journal (Search for Journal in Brave)

zbMATH Keywords

Fourier transformcharacteristic functionlower boundinverse Fourier transformAsian optionexponential damping

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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