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Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps

Weinan Zhang, Pingping Zeng, Yue Kuen Kwok. Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps. Oper. Res. Lett., 51(6):687-694, November 2023. [doi]

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