An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options

Tian-Shyr Dai, Jr-Yan Wang, Hui-Shan Wei. An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options. In Ming-Yang Kao, Xiang-Yang Li, editors, Algorithmic Aspects in Information and Management, Third International Conference, AAIM 2007, Portland, OR, USA, June 6-8, 2007, Proceedings. Volume 4508 of Lecture Notes in Computer Science, pages 262-272, Springer, 2007. [doi]

Abstract

Abstract is missing.