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]
@article{ShiouraT06,
title = {Efficiently pricing European-Asian options - ultimate implementation and analysis of the AMO algorithm},
author = {Akiyoshi Shioura and Takeshi Tokuyama},
year = {2006},
doi = {10.1016/j.ipl.2006.07.006},
url = {http://dx.doi.org/10.1016/j.ipl.2006.07.006},
tags = {analysis},
researchr = {https://researchr.org/publication/ShiouraT06},
cites = {0},
citedby = {0},
journal = {Inf. Process. Lett.},
volume = {100},
number = {6},
pages = {213-219},
}