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"Pricing Asian option by the FFT with higher-order error convergence rate ..."

Chun-Yuan Chiu, Tian-Shyr Dai, Yuh-Dauh Lyuu (2015)

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DOI: 10.1016/J.AMC.2014.12.002

access: closed

type: Journal Article

metadata version: 2020-02-21

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Chun-Yuan Chiu, Tian-Shyr Dai, Yuh-Dauh Lyuu:
Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes. Appl. Math. Comput. 252: 418-437 (2015)

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