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Zhang, B. (author), Van der Weide, J.A.M. (author), Oosterlee, C.W. (author)
In this article, we propose an efficient pricing method for Asian options with early–exercise features. It is based on a two–dimensional integration and a backward recursion of the Fourier coefficients, in which several numerical techniques, like Fourier cosine expansions, Clenshaw–Curtis quadrature and the Fast Fourier transform (FFT) are...
report 2012