Fast Pricing of European Asian Options with Provable Accuracy: Single-Stock and Basket Options
ESA '01 Proceedings of the 9th Annual European Symposium on Algorithms
A Fast, Accurate and Simple Method for Pricing European-Asian and Saving-Asian Options
ESA '02 Proceedings of the 10th Annual European Symposium on Algorithms
An exact subexponential-time lattice algorithm for Asian options
SODA '04 Proceedings of the fifteenth annual ACM-SIAM symposium on Discrete algorithms
Information Processing Letters
An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options
AAIM '07 Proceedings of the 3rd international conference on Algorithmic Aspects in Information and Management
AAIM'05 Proceedings of the First international conference on Algorithmic Applications in Management
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