Dai, Tian-Shyr; Lyuu, Yuh-Dauh - In: Review of Derivatives Research 5 (2002) 2, pp. 181-203
Asian options are a kind of path-dependent derivative. How to price such derivatives efficiently and accurately has been a long-standing research and practical problem. This paper proposes a novel multiresolution (MR) trinomial lattice for pricing European- and American-style arithmetic Asian...