Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions

Zhang, B.; Oosterlee, Kees

Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions

Journal article (2014)

Authors

B. Zhang Numerical Analysis

Kees Oosterlee Numerical Analysis

Research Group

Numerical Analysis

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Published Date

2014

Language

English

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Research Group

Numerical Analysis

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