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

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18 Citations (Scopus)

Original language	English
Pages (from-to)	14-30
Number of pages	17
Journal	Applied Numerical Mathematics
Volume	78
DOIs	https://doi.org/10.1016/j.apnum.2013.11.004
Publication status	Published - 2014

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@article{143b93e51c254e489520adf7a5fbdccb,

title = "Pricing of early-exercise Asian options under L{\'e}vy processes based on Fourier cosine expansions",

author = "B Zhang and CW Oosterlee",

year = "2014",

doi = "10.1016/j.apnum.2013.11.004",

language = "English",

volume = "78",

pages = "14--30",

journal = "Applied Numerical Mathematics",

issn = "0168-9274",

publisher = "Elsevier",

}