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]

Authors

Chun-Yuan Chiu

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Tian-Shyr Dai

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Yuh-Dauh Lyuu

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