Fast Fourier Transform for discrete Asian Options
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References listed on IDEAS
- J. A. Nielsen & K. Sandmann, 1996.
"The pricing of Asian options under stochastic interest rates,"
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Taylor & Francis Journals, vol. 3(3), pages 209-236.
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More about this item
KeywordsFFT; Asian Option; Fat Tailed distributions; Convolutions;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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