"Single-transform formulas for pricing Asian options in a general ..."

Zhenyu Cui, Chi-Hoon Lee, Yanchu Liu (2018)

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DOI: 10.1016/J.EJOR.2017.10.049

access: closed

type: Journal Article

metadata version: 2020-02-21

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Zhenyu Cui, Chi-Hoon Lee, Yanchu Liu:
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes. Eur. J. Oper. Res. 266(3): 1134-1139 (2018)

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