A Fast, Accurate, and Simple Method for Pricing European-Asian and Saving-Asian Options

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A Fast, Accurate, and Simple Method for Pricing European-Asian and Saving-Asian Options

Kenichiro Ohta, Kunihiko Sadakane, Akiyoshi Shioura, Takeshi Tokuyama

Journal Title: Algorithmica

Date: 2005

Volume: 42

Issue: 2

p. 141 - 158

For further information about this item go to:

http://dx.doi.org/10.1007/s00453-004-1143-9

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