Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes

Document Details

Document Type
Pub Defense Publication
Publication Date
May 01, 2018
Source ID
10.1016/j.ejor.2017.10.049

Entities

People

  • Chihoon Lee
  • Yanchu Liu
  • Zhenyu Cui

Organizations

  • Army Research Office
  • National Natural Science Foundation of China
  • Sun Yat-sen University