Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
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Publication:298749
DOI10.1016/j.amc.2014.12.002zbMath1338.91151OpenAlexW2043003322MaRDI QIDQ298749
Tian-Shyr Dai, Chun-Yuan Chiu, Yuh-Dauh Lyuu
Publication date: 21 June 2016
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2014.12.002
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)
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