scientific article; zbMATH DE number 1875432

zbMath1037.91041MaRDI QIDQ4796191

S. V. Raghavan, Karhan Akcoglu, Ming-Yang Kao

Publication date: 2 March 2003

Full work available at URL: http://link.springer.de/link/service/series/0558/bibs/2161/21610404

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zbMATH Keywords

fast Fourier transformMonte Carlo algorithmstock pricesEuropean Asian optionsrecursive bucketing-based scheme

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

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Efficiently pricing European-Asian options-ultimate implementation and analysis of the AMO algorithm ⋮ Accurate and efficient lattice algorithms for American-style Asian options with range bounds

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