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126
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AAIM
2007
Springer
94
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Algorithms
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AAIM 2007
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An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options
15 years 9 months ago
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www.fin.nchu.edu.tw
Abstract. Pricing arithmetic average options continues to intrigue researchers in the field of financial engineering. Since there is no analytical solution for this problem until...
Tian-Shyr Dai, Jr-Yan Wang, Hui-Shan Wei
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