`Efficient pricing of European-style Asian options under exponential Levy processes based on Fourier cosine expansions.'

Zhang, B.; Oosterlee, Kees

`Efficient pricing of European-style Asian options under exponential Levy processes based on Fourier cosine expansions.'

Journal article (2013)

Authors

B. Zhang Numerical Analysis

Kees Oosterlee Numerical Analysis

Research Group

Numerical Analysis

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Published Date

2013

Language

English

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Research Group

Numerical Analysis

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