Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions (Q2437361)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions |
scientific article |
Statements
Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions (English)
0 references
3 March 2014
0 references
early-exercise Asian option
0 references
arithmetic average
0 references
Fourier cosine expansion
0 references
Clenshaw-Curtis quadrature
0 references
exponential convergence
0 references
graphics processing unit computation
0 references
0 references
0 references
0 references
