A Dynamic Programming Procedure for Pricing American-Style Asian Options
Management Science
An exact subexponential-time lattice algorithm for Asian options
SODA '04 Proceedings of the fifteenth annual ACM-SIAM symposium on Discrete algorithms
50th ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications
Management Science
Analytical approximation method of option pricing under geometric mean-reverting process
International Journal of Computer Mathematics - SPECIAL ISSUE ON FINANCIAL DERIVATIVES
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