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

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Latest revision as of 14:51, 26 June 2024

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A convergent quadratic-time lattice algorithm for pricing European-style Asian options
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    A convergent quadratic-time lattice algorithm for pricing European-style Asian options (English)
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    19 September 2007
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    Option pricing
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    binomial model
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    trinomial model
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    path-dependent derivative
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    Asian option
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    complexity
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    Lagrange multiplier
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    PDE
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    lattice
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