Searched for: author:"Zhang, B."
(1 - 1 of 1)
Zhang, B. (author), Oosterlee, C.W. (author)
We propose an efficient pricing method for arithmetic and geometric Asian options under exponential Lévy processes based on Fourier cosine expansions and Clenshaw–Curtis quadrature. The pricing method is developed for both European style and American-style Asian options and for discretely and continuously monitored versions. In the present paper...
journal article 2013