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"Efficient recursion-quadrature algorithms for pricing Asian options and ..."

Weinan Zhang, Pingping Zeng, Yue Kuen Kwok (2023)

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DOI: 10.1016/J.ORL.2023.11.002

access: closed

type: Journal Article

metadata version: 2024-04-05

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Weinan Zhang, Pingping Zeng, Yue Kuen Kwok:
Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps. Oper. Res. Lett. 51(6): 687-694 (2023)

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