An efficient transform method for Asian option pricing
JL Kirkby - SIAM Journal on Financial Mathematics, 2016 - SIAM
This paper introduces a novel method to price arithmetic Asian options in Levy-driven
models, with discrete and continuous averaging, by expanding on the approach of …
models, with discrete and continuous averaging, by expanding on the approach of …
An Efficient Transform Method for Asian Option Pricing
JL Kirkby - SIAM Journal on Financial Mathematics, 2016 - dl.acm.org
This paper introduces a novel method to price arithmetic Asian options in Levy-driven
models, with discrete and continuous averaging, by expanding on the approach of …
models, with discrete and continuous averaging, by expanding on the approach of …
[PDF][PDF] AN EFFICIENT TRANSFORM METHOD FOR ASIAN OPTION PRICING
JL KIRKBY - 2016 - researchgate.net
This paper introduces a novel method to price arithmetic Asian options in Levy-driven
models, with discrete and continuous averaging, by expanding on the approach of …
models, with discrete and continuous averaging, by expanding on the approach of …
An Efficient Transform Method for Asian Option Pricing
J Kirkby - SIAM Journal on Financial Mathematics, 2016 - papers.ssrn.com
This paper introduces a novel method to price arithmetic Asian options in Levy-driven
models, with discrete and continuous averaging, by expanding on the approach of …
models, with discrete and continuous averaging, by expanding on the approach of …
[PDF][PDF] AN EFFICIENT TRANSFORM METHOD FOR ASIAN OPTION PRICING
JL KIRKBY - 2016 - researchgate.net
This paper introduces a novel method to price arithmetic Asian options in Levy-driven
models, with discrete and continuous averaging, by expanding on the approach of …
models, with discrete and continuous averaging, by expanding on the approach of …