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Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions.

Chun-Sung HuangJohn G. O'HaraSure Mataramvura
Published in: J. Comput. Appl. Math. (2017)
Keyphrases
  • markov chain
  • computationally expensive
  • genetic algorithm
  • learning algorithm
  • similarity measure
  • multiscale
  • evolutionary algorithm
  • image reconstruction
  • discrete geometry