Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes

Chun-Yuan Chiu, Tian-Shyr Dai, Yuh-Dauh Lyuu. Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes. Applied Mathematics and Computation, 252:418-437, 2015. [doi]

Abstract

Abstract is missing.