Efficient pricing of European-style Asian options under exponential L\'evy processes based on Fourier cosine expansions

2013

Additional Metadata
THEME	Other (theme 6)
Publisher	SIAM
Persistent URL	doi.org/10.1137/110853339
Journal	SIAM Journal on Financial Mathematics
Organisation	Scientific Computing
Citation APA APA Style APA-ALL Style AAA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Zhang, B.& Oosterlee, K. (2013). Efficient pricing of European-style Asian options under exponential L\'evy processes based on Fourier cosine expansions. SIAM Journal on Financial Mathematics, 4(1), 399–426.https://doi.org/10.1137/110853339

Publication