Pricing Discretely Monitored Asian Options by Maturity Randomization (Q3006713)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing Discretely Monitored Asian Options by Maturity Randomization |
scientific article |
Statements
Pricing Discretely Monitored Asian Options by Maturity Randomization (English)
0 references
21 June 2011
0 references
Asian option
0 references
discrete monitoring
0 references
fast Fourier transform
0 references
integral equation
0 references
Lévy process
0 references
option pricing
0 references
quadrature formula
0 references
