Efficient pricing of discrete Asian options
From MaRDI portal
Publication:555398
DOI10.1016/j.amc.2011.01.015zbMath1386.91141MaRDI QIDQ555398
Yuh-Dauh Lyuu, William Wei-Yuan Hsu
Publication date: 22 July 2011
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2011.01.015
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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A new hybrid Monte Carlo simulation for Asian options pricing, A convergent quadratic-time lattice algorithm for pricing European-style Asian options
Cites Work
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