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

Projects

Cite this

Albrecher, H., & Schoutens, W. (2005). Static hedging of Asian options under stochastic volatility models using Fast Fourier transform. In Exotic Options and Advanced Levy Models, John Wiley and Sons Ltd. (1 ed., pp. 129-148). Chichester: Wiley.