Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions (Q2873135)
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scientific article; zbMATH DE number 6249467
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions |
scientific article; zbMATH DE number 6249467 |
Statements
23 January 2014
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arithmetic Asian options
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exponential Lévy asset price processes
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Fourier cosine expansions
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Clenshaw-Curtis quadrature
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exponential convergence
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Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions (English)
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