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

B Zhang, CW Oosterlee

Research output: Contribution to journalArticleScientificpeer-review

8 Citations (Scopus)
Original languageEnglish
Pages (from-to)14-30
Number of pages17
JournalApplied Numerical Mathematics
Volume78
DOIs
Publication statusPublished - 2014

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