"Model-Independent Bounds for Asian Options: A Dynamic Programming Approach."

Alexander M. G. Cox, Sigrid Källblad (2017)

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DOI: 10.1137/16M1087527

access: closed

type: Journal Article

metadata version: 2020-07-09

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Alexander M. G. Cox, Sigrid Källblad:
Model-Independent Bounds for Asian Options: A Dynamic Programming Approach. SIAM J. Control. Optim. 55(6): 3409-3436 (2017)

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