"General lattice methods for arithmetic Asian options."

Anna Maria Gambaro, Ioannis Kyriakou, Gianluca Fusai (2020)

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DOI: 10.1016/J.EJOR.2019.10.026

access: closed

type: Journal Article

metadata version: 2020-02-21

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Anna Maria Gambaro, Ioannis Kyriakou, Gianluca Fusai:
General lattice methods for arithmetic Asian options. Eur. J. Oper. Res. 282(3): 1185-1199 (2020)

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