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

Research output: Contribution to journal › Article › Scientific › peer-review

Original language	English
Pages (from-to)	399-426
Number of pages	28
Journal	SIAM Journal on Financial Mathematics
Volume	4
Publication status	Published - 2013

Cite this

@article{a96b4750c82f448b8bdf2180776937bf,

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

author = "B Zhang and CW Oosterlee",

year = "2013",

language = "English",

volume = "4",

pages = "399--426",

journal = "SIAM Journal on Financial Mathematics",

issn = "1945-497X",

publisher = "Society for Industrial and Applied Mathematics",

}

TY - JOUR

T1 - `Efficient pricing of European-style Asian options under exponential Levy processes based on Fourier cosine expansions.'

AU - Zhang, B

AU - Oosterlee, CW

PY - 2013

Y1 - 2013

UR - http://ta.twi.tudelft.nl/mf/users/oosterle/oosterlee/J81.pdf

M3 - Article

SN - 1945-497X

VL - 4

SP - 399

EP - 426

JO - SIAM Journal on Financial Mathematics

JF - SIAM Journal on Financial Mathematics

ER -