Efficient pricing of discrete arithmetic Asian options...

Journal of Computational and Applied Mathematics 2017 / 02 Vol. 311

Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions

Huang, Chun-Sung, O’Hara, John G., Mataramvura, Sure
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Volume:
311
Language:
english
Journal:
Journal of Computational and Applied Mathematics
DOI:
10.1016/j.cam.2016.07.019
Date:
February, 2017
File:
PDF, 500 KB
english, 2017
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