Static hedging of Asian options under stochastic volatility models using Fast Fourier transform

Hansjörg Albrecher, Wim Schoutens

Research output: Chapter in Book/Report/Conference proceedingChapter

Original languageEnglish
Title of host publicationExotic Options and Advanced Levy Models, John Wiley and Sons Ltd.
Place of PublicationChichester
PublisherWiley
Pages129-148
Edition1
Publication statusPublished - 2005

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