Other (theme 6)
SIAM
dx.doi.org/10.1137/110853339
SIAM Journal on Financial Mathematics
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