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Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions

Huang, Chun-Sung and O'Hara, John G and Mataramvura, Sure (2017) Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions. Journal of Computational and Applied Mathematics, 311. pp. 230-238. DOI https://doi.org/10.1016/j.cam.2016.07.019



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