An efficient convergent lattice algorithm for European Asian options
From MaRDI portal
Publication:2571992
DOI10.1016/j.amc.2004.10.085zbMath1151.91499MaRDI QIDQ2571992
Yuh-Dauh Lyuu, Tian-Shyr Dai, Guan-Shieng Huang
Publication date: 14 November 2005
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: http://ntur.lib.ntu.edu.tw//handle/246246/20060927122848148993
lattice; Lagrange multiplier; option pricing; approximation algorithm; Asian option; path-dependent derivative
91G20: Derivative securities (option pricing, hedging, etc.)
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