Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions (Q2437361)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions |
scientific article; zbMATH DE number 6264293
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions |
scientific article; zbMATH DE number 6264293 |
Statements
Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions (English)
0 references
3 March 2014
0 references
early-exercise Asian option
0 references
arithmetic average
0 references
Fourier cosine expansion
0 references
Clenshaw-Curtis quadrature
0 references
exponential convergence
0 references
graphics processing unit computation
0 references
0 references
0 references
0 references
0.9567447
0 references
0.90727496
0 references
0.8994336
0 references
0.8982079
0 references
0.89652324
0 references
0.8866355
0 references
0.8866244
0 references
0.8834851
0 references
0.88194287
0 references
