2013
Efficient pricing of European-style Asian options under exponential L\'evy processes based on Fourier cosine expansions
Publication
Publication
SIAM Journal on Financial Mathematics , Volume 4 - Issue 1 p. 399- 426
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Other (theme 6) | |
SIAM | |
dx.doi.org/10.1137/110853339 | |
SIAM Journal on Financial Mathematics | |
Organisation | Scientific Computing |
Zhang, B, & Oosterlee, C.W. (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. doi:10.1137/110853339
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