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College of Electrical Engineering and Computer Science / 電機資訊學院
Computer Science and Information Engineering / 資訊工程學系
Pricing Asian Options with Fourier Convolution
Details
Pricing Asian Options with Fourier Convolution
Date Issued
2006
Date
2006
Author(s)
Shu, Cheng-Hsiung
DOI
20060927122847757467
URI
http://ntur.lib.ntu.edu.tw//handle/246246/20060927122847757467
Abstract
2. contents. 1. introduction. 2. background. 3. the fourier convolution method. 3.1 steward & hodges factorization. 3.2 re-centering the densities. 3.3 the interpolation formula. 3.4 the pricing algorithm. 3.5 the choice of parameters
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Publisher
臺北市:國立臺灣大學資訊工程學系
Type
report
File(s)
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Name
thesis_r93922111.pdf
Size
161.06 KB
Format
Adobe PDF
Checksum
(MD5):29405978a720ba09598422b8763261a4
