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SODA
2004
ACM
102views Algorithms» more  SODA 2004»
13 years 6 months ago
An exact subexponential-time lattice algorithm for Asian options
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...
Tian-Shyr Dai, Yuh-Dauh Lyuu