An efficient convergent lattice algorithm for European Asian options (Q2571992)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient convergent lattice algorithm for European Asian options |
scientific article |
Statements
An efficient convergent lattice algorithm for European Asian options (English)
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14 November 2005
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option pricing
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lattice
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path-dependent derivative
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Asian option
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approximation algorithm
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Lagrange multiplier
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