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Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
Chiu, Chun-Yuan, Dai, Tian-Shyr, Lyuu, Yuh-DauhVolume:
252
Language:
english
Journal:
Applied Mathematics and Computation
DOI:
10.1016/j.amc.2014.12.002
Date:
February, 2015
File:
PDF, 741 KB
english, 2015