Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions (Q2873135)
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scientific article; zbMATH DE number 6249467
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| English | Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions |
scientific article; zbMATH DE number 6249467 |
Statements
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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Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions (English)
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0.8983904719352722
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0.8612247109413147
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0.859725832939148
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0.839515745639801
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0.8372886180877686
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