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

2013-01-01

SIAM Journal on Financial Mathematics , Volume 4 - Issue 1 p. 399- 426

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