Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
Hilbert transformfast convolutionarithmetic Asian optionsgamma transformfast Hilbert transformLévy processesdouble spiral method
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integration, integrals of Cauchy type, integral representations of analytic functions in the complex plane (30E20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Numerical methods for integral transforms (65R10) Numerical methods for discrete and fast Fourier transforms (65T50)
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