Accurate and efficient lattice algorithms for American-style Asian options with range bounds

Tian-Shyr Dai, Yuh-Dauh Lyuu. Accurate and efficient lattice algorithms for American-style Asian options with range bounds. Applied Mathematics and Computation, 209(2):238-253, 2009. [doi]

Authors

Tian-Shyr Dai

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Yuh-Dauh Lyuu

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