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SODA
2004
ACM
102
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Algorithms
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SODA 2004
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An exact subexponential-time lattice algorithm for Asian options
14 years 6 days ago
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financelab.nctu.edu.tw
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
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