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An efficient transform method for Asian option pricing. (English) Zbl 1357.91053

91G60 Numerical methods (including Monte Carlo methods)
65C20 Probabilistic models, generic numerical methods in probability and statistics
65T50 Numerical methods for discrete and fast Fourier transforms
65D07 Numerical computation using splines
62P05 Applications of statistics to actuarial sciences and financial mathematics
60E10 Characteristic functions; other transforms
91G20 Derivative securities (option pricing, hedging, etc.)
Full Text: DOI
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