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BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS - MaRDI portal

BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS (Q5369446)

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scientific article; zbMATH DE number 6792311
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English
BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS
scientific article; zbMATH DE number 6792311

    Statements

    title
    BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS (English)
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    publication date
    17 October 2017
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    zbMATH Keywords
    Asian option
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    lower bound
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    characteristic function
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    Fourier transform
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    inverse Fourier transform
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    exponential damping
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    Identifiers

    Mathematics Subject Classification ID
    60G51
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    91G20
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    42B10
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    zbMATH DE Number
    6792311
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