Efficient pricing of discrete Asian options
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Publication:555398
DOI10.1016/j.amc.2011.01.015zbMath1386.91141OpenAlexW1984917482MaRDI QIDQ555398
Yuh-Dauh Lyuu, William Wei-Yuan Hsu
Publication date: 22 July 2011
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2011.01.015
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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