2 search results - page 1 / 1 » An exact subexponential-time lattice algorithm for Asian opt... |
SODA
2004
ACM
14 years 6 days 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 10 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 ...