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Accurate approximations for Asian options. (English) Zbl 0952.91029
Proceedings of the 11th annual ACM-SIAM symposium on Discrete algorithms. San Francisco, CA, USA, January 9-11, 2000. Philadelphia, PA: SIAM. 891-900 (2000).

MSC:
91G20 Derivative securities (option pricing, hedging, etc.)
90C59 Approximation methods and heuristics in mathematical programming
90C60 Abstract computational complexity for mathematical programming problems
91B74 Economic models of real-world systems (e.g., electricity markets, etc.)
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