Pricing Asian Options with an Efficient Convergent Approximation Algorithm

Tian-Shyr Dai, Guan-Shieng Huang, Yuh-Dauh Lyuu. Pricing Asian Options with an Efficient Convergent Approximation Algorithm. In Ajith Abraham, Yasuhiko Dote, Takeshi Furuhashi, Mario Köppen, Azuma Ohuchi, Yukio Ohsawa, editors, Soft Computing as Transdisciplinary Science and Technology, Proceedings of the fourth IEEE International Workshop, WSTST 05, Muroran, Japan. Volume 29 of Advances in Soft Computing, pages 1121-1130, Springer, 2005. [doi]

Abstract

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