Efficient Pricing of Asian Options under L´evy Processes based on Fourier Cosine Expansions Part II Early¿Exercise Features and GPU Implementation

B Zhang, JAM van der Weide, CW Oosterlee

Research output: Book/ReportReportProfessional

Original languageEnglish
Place of PublicationDelft
PublisherEWI Dept. Applied Mathematics
Number of pages27
VolumeReports of the Department of Applied Mathematics
Publication statusPublished - 2012

Publication series

Name
PublisherEWI Dept. Applied Mathematics

Keywords

  • departmental working papers
  • Geen BTA classificatie

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