Efficiently pricing European-Asian options - ultimate implementation and analysis of the AMO algorithm

Akiyoshi Shioura, Takeshi Tokuyama. Efficiently pricing European-Asian options - ultimate implementation and analysis of the AMO algorithm. Inf. Process. Lett., 100(6):213-219, 2006. [doi]

Authors

Akiyoshi Shioura

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Takeshi Tokuyama

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