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AMC
2005
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AMC 2005
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An efficient convergent lattice algorithm for European Asian options
14 years 11 days ago
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www.csie.ntu.edu.tw
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 ...
Tian-Shyr Dai, Guan-Shieng Huang, Yuh-Dauh Lyuu
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