A Dynamic Programming Procedure for Pricing American-Style Asian Options
Year of publication: |
2002
|
---|---|
Authors: | Ben-Ameur, Hatem ; Breton, Michèle ; L'Ecuyer, Pierre |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 48.2002, 5, p. 625-643
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | Option Pricing | Asian Options | Path-Dependent Options | American Options | Bermudan Options | Dynamic Programming | Piecewise Polynomials |
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