Computable Error Bounds of Laplace Inversion for Pricing Asian Options
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Publication:5137949
DOI10.1287/ijoc.2017.0805OpenAlexW2898828423MaRDI QIDQ5137949
Ning Cai, Yingda Song, Steven Kou
Publication date: 3 December 2020
Published in: INFORMS Journal on Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/ijoc.2017.0805
continuous-time Markov chainsLaplace inversioncontinuously monitored Asian optionsdiscretely monitored Asian options
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