Efficient Pricing of Asian Options under L´evy Processes based on Fourier Cosine Expansions Part II Early¿Exercise Features and GPU Implementation
Report
(2012)
Authors
B. Zhang (TU Delft - Numerical Analysis)
J.A.M. van der Weide (TU Delft - Applied Probability)
C. W. Oosterlee (TU Delft - Numerical Analysis)
Research Group
Numerical Analysis
To reference this document use:
https://resolver.tudelft.nl/c37f36f3-c082-4fb1-833d-fe04beedd3c6
More Info
expand_more
expand_more
Publication Year
2012
Language
English
Research Group
Numerical Analysis
Volume number
Reports of the Department of Applied Mathematics
No files available
Metadata only record. There are no files for this record.