Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions (Q730541)
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scientific article; zbMATH DE number 6668799
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| English | Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions |
scientific article; zbMATH DE number 6668799 |
Statements
Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions (English)
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28 December 2016
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arithmetic Asian options
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Fourier-cosine expansions
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fast Fourier transform
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mean reverting process
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jump-diffusion
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0.8612247109413147
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0.8330150842666626
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0.8283789753913879
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0.8204053640365601
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0.8127380609512329
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