Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space (Q4635240)
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scientific article; zbMATH DE number 6860066
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| English | Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space |
scientific article; zbMATH DE number 6860066 |
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Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space (English)
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16 April 2018
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arithmetic Asian options
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Lévy processes
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Hilbert transform
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gamma transform
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double spiral method
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fast convolution
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fast Hilbert transform
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