Numerical computation of an integral representation for arithmetic-average Asian options

DOI10.1007/S00607-004-0066-2zbMath1121.91368OpenAlexW2083915711MaRDI QIDQ1763003

Knut Petras

Publication date: 11 February 2005

Published in: Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00607-004-0066-2

zbMATH Keywords

automatic differentiationHermitian quadrature formulasValidated integration

Mathematics Subject Classification ID

Numerical differentiation (65D25) Algorithms with automatic result verification (65G20) Numerical integration (65D30)

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