Work

Fast Fourier Transform for Discrete Asian Options

Year: 2001

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.269491

Author: Eric Benhamou

Institution: Université Paris Dauphine-PSL

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1607335281

Cites: 25

Cited by: 24

Related to: 10