A convergent quadratic-time lattice algorithm for pricing European-style Asian options (Q2383617): Difference between revisions

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-.1016/j.amc.2006.11.180
@@ Property / DOI: 10.1016/j.amc.2006.11.180 / rank @@
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+Yuh-Dauh Lyuu
@@ Property / author: Yuh-Dauh Lyuu / rank @@
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+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
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@@ Property / cites work @@
+Accurate pricing formulas for Asian options
@@ Property / cites work: Accurate pricing formulas for Asian options / rank @@
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+Monte Carlo methods for security pricing
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+PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
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+Efficient, exact algorithms for Asian options with multiresolution lattices
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+An efficient convergent lattice algorithm for European Asian options
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+Efficient pricing of discrete Asian options
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+Option pricing: A simplified approach
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+Asymptotic Methods in Enumeration
@@ Property / cites work: Asymptotic Methods in Enumeration / rank @@
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@@ Property / DOI @@
+.1016/J.AMC.2006.11.180
@@ Property / DOI: 10.1016/J.AMC.2006.11.180 / rank @@
+Normal rank