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"Efficient Pricing of European-Style Asian Options under Exponential ..."

Bowen Zhang, Cornelis W. Oosterlee (2013)

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DOI: 10.1137/110853339

access: closed

type: Journal Article

metadata version: 2020-02-05

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Bowen Zhang, Cornelis W. Oosterlee:
Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions. SIAM J. Financial Math. 4(1): 399-426 (2013)

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