Application of high-precision computing for pricing arithmetic asian options

DOI10.1145/1145768.1145782zbMath1356.91096OpenAlexW2023123440MaRDI QIDQ2958969

Phelim P. Boyle, Alex Potapchik

Publication date: 3 February 2017

Published in: Proceedings of the 2006 international symposium on Symbolic and algebraic computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/1145768.1145782

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Numerical methods for the computation of the confluent and Gauss hypergeometric functions ⋮ Characterization of Kummer hypergeometric Bernoulli polynomials and applications ⋮ On bounds for Kummer’s function ratio

Uses Software

• Maple

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