Pricing discretely monitored Asian options under Lévy processes

Journal of Banking and Finance

Volumn 32, Issue 10, 2008, Pages 2076-2088

  Fusai, Gianluca ^a,b   Meucci, Attilio ^c  

^a UNIVERSITY OF EASTERN PIEDMONT   (Italy)

^b UNIVERSITY OF WARWICK   (United Kingdom)

^c LEHMAN BROTHERS   (United States)

Author keywords

Asian options; Discrete monitoring; L vy processes; Model risk; Quadrature; Stable processes

Indexed keywords

EID: 51549119588     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.12.027     Document Type: Article

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