Additional Metadata
THEME Other (theme 6)
Publisher SIAM
Persistent URL dx.doi.org/10.1137/110853339
Journal SIAM Journal on Financial Mathematics
Citation
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