3 search results - page 1 / 1 » An efficient convergent lattice algorithm for European Asian... |
AMC
2005
13 years 4 months ago
2005
Financial options whose payoff depends critically on historical prices are called pathdependent options. Their prices are usually harder to calculate than options whose prices do ...
SODA
2004
ACM
13 years 6 months ago
2004
ACM
Asian options are path-dependent derivatives. How to price them efficiently and accurately has been a longstanding research and practical problem. Asian options can be priced on t...
CSC
2006
13 years 6 months ago
2006
How to price options efficiently and accurately is an important research problem. Options can be priced by the lattice model. Although the pricing results converge to the theoreti...