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Fourier Transform for Pricing Asian Options with Higher-Order Convergence Rates

Chun-Yuan Chiu, Tian-Shyr Dai, Yu-Cheng Tien. Fourier Transform for Pricing Asian Options with Higher-Order Convergence Rates. In Hamid R. Arabnia, George A. Gravvanis, Louis D Alotto, James Nystrom, Ashu M. G. Solo, William Spataro, Emre Tokgoz, editors, Proceedings of the 2010 International Conference on Scientific Computing, CSC 2010, July 12-15, 2010, Las Vegas, Nevada, USA. pages 114-121, CSREA Press, 2010.

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