A Dynamic Programming Procedure for Pricing American-Style Asian Options
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Publication:3114780
DOI10.1287/mnsc.48.5.625.7803zbMath1232.91645OpenAlexW2029681675MaRDI QIDQ3114780
Hatem Ben-Ameur, Pierre L'Ecuyer, Michèle Breton
Publication date: 19 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/08fb82d92aae01069f6cd18909a4b575faa12d5d
dynamic programmingoption pricingAmerican optionsAsian optionspath-dependent optionspiecewise polynomialsBermudan options
Dynamic programming (90C39) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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