An improved convolution algorithm for discretely sampled Asian options
From MaRDI portal
Publication:3169216
DOI10.1080/14697680903397667zbMath1232.91653MaRDI QIDQ3169216
Publication date: 28 April 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/12180/6/CernyKyriakou.AsianOptions.vCRO-watermark.pdf
91G60: Numerical methods (including Monte Carlo methods)
65T60: Numerical methods for wavelets
91G20: Derivative securities (option pricing, hedging, etc.)
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