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Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions.
Bowen Zhang
Cornelis W. Oosterlee
Published in:
SIAM J. Financial Math. (2013)
Keyphrases
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double exponential
cost effective
option pricing
information systems
decision making
feature extraction
data structure
data points
signal processing
lightweight
image reconstruction
fourier transform