Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions

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标题

作者

关键词

Arithmetic Asian options, Fourier-cosine expansions, Fast Fourier transform, Mean reverting process, Jump–diffusion

出版物

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Volume 311, Issue -, Pages 230-238

出版商

Elsevier BV

发表日期

2016-08-05

DOI

10.1016/j.cam.2016.07.019

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