An exact subexponential-time lattice algorithm for Asian options

DOI10.1007/s00236-006-0033-9zbMath1136.91425MaRDI QIDQ878377

Yuh-Dauh Lyuu, Tian-Shyr Dai

Publication date: 26 April 2007

Published in: Acta Informatica (Search for Journal in Brave)

Full work available at URL: http://ntur.lib.ntu.edu.tw/bitstream/246246/154527/1/17.pdf

Mathematics Subject Classification ID

Related Items

An efficient and accurate lattice for pricing derivatives under a jump-diffusion process, Accurate and efficient lattice algorithms for American-style Asian options with range bounds

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