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]
@article{DaiL09-0,
title = {Accurate and efficient lattice algorithms for American-style Asian options with range bounds},
author = {Tian-Shyr Dai and Yuh-Dauh Lyuu},
year = {2009},
doi = {10.1016/j.amc.2008.12.053},
url = {http://dx.doi.org/10.1016/j.amc.2008.12.053},
researchr = {https://researchr.org/publication/DaiL09-0},
cites = {0},
citedby = {0},
journal = {Applied Mathematics and Computation},
volume = {209},
number = {2},
pages = {238-253},
}