Tatiana P. Chernogorova, Lubin G. Vulkov. Two Splitting Methods for a Fixed Strike Asian Option. In Ivan Dimov, István Faragó, Lubin G. Vulkov, editors, Numerical Analysis and Its Applications - 5th International Conference, NAA 2012, Lozenetz, Bulgaria, June 15-20, 2012, Revised Selected Papers. Volume 8236 of Lecture Notes in Computer Science, pages 214-221, Springer, 2012. [doi]
Abstract is missing.