"An efficient convergent lattice algorithm for European Asian options."

Tian-Shyr Dai, Guan-Shieng Huang, Yuh-Dauh Lyuu (2005)

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DOI: 10.1016/J.AMC.2004.10.085

access: closed

type: Journal Article

metadata version: 2020-02-21

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Tian-Shyr Dai, Guan-Shieng Huang, Yuh-Dauh Lyuu:
An efficient convergent lattice algorithm for European Asian options. Appl. Math. Comput. 169(2): 1458-1471 (2005)

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