Erratum. Exact retrospective Monte Carlo computation of arithmetic average Asian options

DOI10.1515/MCMA.2010.005zbMath1192.91179MaRDI QIDQ3580729

Mohamed Karim Sbai, Benjamin Jourdain

Publication date: 13 August 2010

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2010.005

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)