An efficient convergent lattice algorithm for European Asian options (Q2571992): Difference between revisions

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+Guan-Shieng Huang
@@ Property / author: Guan-Shieng Huang / rank @@
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+Yuh-Dauh Lyuu
@@ Property / author: Yuh-Dauh Lyuu / rank @@
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+W1998369850
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+Q2768497
@@ Property / cites work: Q2768497 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
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+Approximate option pricing
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+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
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+Q4226183
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+Numerical Inversion of Laplace Transforms of Probability Distributions
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+The value of an Asian option
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+Convergence of numerical methods for valuing path-dependent options using interpolation
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+Efficient, exact algorithms for Asian options with multiresolution lattices
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+PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
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