Efficiently pricing European-Asian options: ultimate implementation and analysis of the AMO algorithm

Authors:
Akiyoshi Shioura;Takeshi Tokuyama
Affiliations:
Graduate School of Information Sciences, Tohoku University, Sendai, Japan;Graduate School of Information Sciences, Tohoku University, Sendai, Japan
Venue:
Information Processing Letters
Year:
2006

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Accurate approximations for Asian options

SODA '00 Proceedings of the eleventh annual ACM-SIAM symposium on Discrete algorithms

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Abstract