On Asian option pricing for NIG Lévy processes
نویسندگان
چکیده
منابع مشابه
Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
Pricing Asian options is a long standing hard problem since there is no analytical formula for the probability density of its payoff even when the process of the underlying asset follows the simple lognormal diffusion process. It is known that the option payoff can be expressed as a recursive function of sums of independent random variables. As a result, the density function of the option payof...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2004
ISSN: 0377-0427
DOI: 10.1016/j.cam.2004.01.037