A transform-based method for pricing Asian options under general two-dimensional models (Q6067803)
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scientific article; zbMATH DE number 7778535
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A transform-based method for pricing Asian options under general two-dimensional models |
scientific article; zbMATH DE number 7778535 |
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A transform-based method for pricing Asian options under general two-dimensional models (English)
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14 December 2023
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arithmetic Asian options
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two-dimensional models
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extended double spiral method
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fast Fourier transform
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