"A convergent quadratic-time lattice algorithm for pricing European-style ..."

William Wei-Yuan Hsu, Yuh-Dauh Lyuu (2007)

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DOI: 10.1016/J.AMC.2006.11.180

access: closed

type: Journal Article

metadata version: 2020-02-21

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William Wei-Yuan Hsu, Yuh-Dauh Lyuu:
A convergent quadratic-time lattice algorithm for pricing European-style Asian options. Appl. Math. Comput. 189(2): 1099-1123 (2007)

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