An exact subexponential-time lattice algorithm for Asian options

Tian-Shyr Dai, Yuh-Dauh Lyuu. An exact subexponential-time lattice algorithm for Asian options. Acta Informatica, 44(1):23-39, 2007. [doi]

Authors

Tian-Shyr Dai

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Yuh-Dauh Lyuu

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