Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions (Q730541)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions |
scientific article |
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Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions (English)
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28 December 2016
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arithmetic Asian options
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Fourier-cosine expansions
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fast Fourier transform
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mean reverting process
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jump-diffusion
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