Accurate and efficient lattice algorithms for American-style Asian options with range bounds
type: Item
instance of: scholarly article
title: Accurate and efficient lattice algorithms for American-style Asian options with range bounds
zbMATH Open document ID: 1156.91365
author: Tian-Shyr Dai
author: Yuh-Dauh Lyuu
published in: Applied Mathematics and Computation
publication date: 2009-03-30T00:00:00Z
full work available at URL: http://ntur.lib.ntu.edu.tw//handle/246246/154545
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 90C90
zbMATH DE Number: 5534859
zbMATH Keywords: Asian option
zbMATH Keywords: option pricing
zbMATH Keywords: lattice
zbMATH Keywords: path-dependent derivative
zbMATH Keywords: range-bound algorithm
MaRDI profile type: Publication
OpenAlex ID: W2133161479
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DOI: 10.1016/J.AMC.2008.12.053
description: scientific article; zbMATH DE number 5534859