Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes.
Chun-Yuan ChiuTian-Shyr DaiYuh-Dauh LyuuPublished in: Appl. Math. Comput. (2015)
Keyphrases
- convergence rate
- higher order
- convergence speed
- step size
- option pricing
- learning rate
- high order
- natural images
- lower order
- global convergence
- fourier transform
- markov random field
- gradient method
- primal dual
- black scholes model
- pairwise
- wavelet neural network
- mutation operator
- gravitational search algorithm
- faster convergence rate
- steady state error
- variable step size
- neural network
- linear algebra
- fast fourier transform
- stock price
- frequency domain
- numerical stability
- simulated annealing