Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates

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Publication:2040431

DOI10.1007/s00186-020-00735-5zbMath1475.91365OpenAlexW3123985212MaRDI QIDQ2040431

Jingtang Ma, Wensheng Yang, Zhen-Yu Cui

Publication date: 14 July 2021

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-020-00735-5




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