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 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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