2 search results - page 1 / 1 » An exact subexponential-time lattice algorithm for Asian opt... |
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...
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 ...