Efficient Pricing of Asian Options under L´evy Processes based on Fourier Cosine Expansions Part II Early¿Exercise Features and GPU Implementation

Report (2012)

Authors

B. Zhang Numerical Analysis
J.A.M. van der Weide Applied Probability
C. W. Oosterlee Numerical Analysis
Research Group
Numerical Analysis
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Published Date

2012

Language

English

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Research Group

Numerical Analysis

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