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]
@article{ChiuDL15,
title = {Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes},
author = {Chun-Yuan Chiu and Tian-Shyr Dai and Yuh-Dauh Lyuu},
year = {2015},
doi = {10.1016/j.amc.2014.12.002},
url = {http://dx.doi.org/10.1016/j.amc.2014.12.002},
researchr = {https://researchr.org/publication/ChiuDL15},
cites = {0},
citedby = {0},
journal = {Applied Mathematics and Computation},
volume = {252},
pages = {418-437},
}