Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions (Q2873135)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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