Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/110853339
Reference20 articles.
1. Numerical inversion of probability generating functions
2. Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
3. Fast Fourier transform for discrete Asian options
4. Exponentially convergent Fourier-Chebshev quadrature schemes on bounded and infinite intervals
5. The Fine Structure of Asset Returns: An Empirical Investigation
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