A transform-based method for pricing Asian options under general two-dimensional models
Weinan Zhang, Pingping Zeng
| Year of publication: |
2023
|
|---|---|
| Authors: | Zhang, Weinan ; Zeng, Pingping |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 11, p. 1677-1697
|
| Subject: | Arithmetic Asian options | Extended double spiral method | Fast Fourier transform | Two-dimensional models | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2256358 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014419186