An efficient convergent lattice algorithm for European Asian options

Tian-Shyr Dai, Guan-Shieng Huang, Yuh-Dauh Lyuu. An efficient convergent lattice algorithm for European Asian options. Applied Mathematics and Computation, 169(2):1458-1471, 2005. [doi]

Authors

Tian-Shyr Dai

This author has not been identified. Look up 'Tian-Shyr Dai' in Google

Guan-Shieng Huang

This author has not been identified. Look up 'Guan-Shieng Huang' in Google

Yuh-Dauh Lyuu

This author has not been identified. Look up 'Yuh-Dauh Lyuu' in Google