Colchester, Essex CO4 3SQ
Durban 4000, KZN 4000
University of Essex - Centre for Computational Finance and Economic Agents
University of KwaZulu-Natal
American exchange, American put, pricing options
Arithmetic Asian options, Fourier-cosine expansions, Fast Fourier transform, Mean reverting process, Jump diffusion
Liquidity Risk, Portfolio Valuation, Market Impact, MSDC, Expected Shortfall
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