General lattice methods for arithmetic Asian options
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Publication:2286910
DOI10.1016/j.ejor.2019.10.026zbMath1431.91432OpenAlexW2981587648MaRDI QIDQ2286910
Ioannis Kyriakou, Gianluca Fusai, Anna Maria Gambaro
Publication date: 23 January 2020
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/23115/1/AsianTree.pdf
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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