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Asian option pricing via Laguerre quadrature: a diffusion kernel approach (Q6630455)

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scientific article; zbMATH DE number 7936616
Language Label Description Also known as
English
Asian option pricing via Laguerre quadrature: a diffusion kernel approach
scientific article; zbMATH DE number 7936616

    Statements

    title
    Asian option pricing via Laguerre quadrature: a diffusion kernel approach (English)
    0 references
    author
    P. G. Morrison
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    publication date
    31 October 2024
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    zbMATH Keywords
    options pricing
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    Mehler-Fock functions
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    modified Bessel functions
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    integral transforms
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    33C10
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    44A15
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    44A20
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    zbMATH DE Number
    7936616
    0 references
     
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