Searched for: author%3A%22Zhang%2C+B.%22
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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
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Zhang, B. (author)
In the financial world, two tasks are of prime importance: model calibration and portfolio hedging. For both tasks, efficient option pricing is necessary, particularly for the calibration where many options with different strike prices and different maturities need to be priced at the same time. Therefore, a fast yet accurate pricing method is a...
doctoral thesis 2012