Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes (Q298749)
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scientific article; zbMATH DE number 6595829
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| English | Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes |
scientific article; zbMATH DE number 6595829 |
Statements
Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes (English)
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21 June 2016
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pricing
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fast Fourier transform
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Asian option
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Newton-Cotes integration formula
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0.8743849396705627
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0.8553670644760132
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0.839515745639801
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0.8265897631645203
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0.8214021921157837
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