Blar i NTNU Open på forfatter "Urfjell, Markus Brabrand"
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Pricing Asian Options by Numerical Path Integration with Advanced Lévy Dynamics
Urfjell, Markus Brabrand (Master thesis, 2018)In this thesis I combine the strengths of the Path Integration method and the Fast Fourier transform to price discretely monitored, path dependent, fixed strike Asian options in a fast and accurate manner. The presented ...