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 - EEMCS
J.A.M. van der Weide Applied Probability - EEMCS
C.W. Oosterlee Numerical Analysis - EEMCS
Research Group
Numerical Analysis (EEMCS) (TU Delft)
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Published Date

2012

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Numerical Analysis