Fast pricing of European Asian options with provable accuracy: single-stock and basket options (Q4796191)
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scientific article; zbMATH DE number 1875432
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| default for all languages | No label defined |
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| English | Fast pricing of European Asian options with provable accuracy: single-stock and basket options |
scientific article; zbMATH DE number 1875432 |
Statements
2 March 2003
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European Asian options
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stock prices
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Monte Carlo algorithm
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recursive bucketing-based scheme
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fast Fourier transform
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0.8309682607650757
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0.8306256532669067
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0.8149893283843994
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Fast pricing of European Asian options with provable accuracy: single-stock and basket options (English)
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