General multilevel Monte Carlo methods for pricing discretely monitored Asian options-Reference-Cited by-同舟云学术

General multilevel Monte Carlo methods for pricing discretely monitored Asian options

Published:2020-12 Issue:2 Volume:287 Page:739-748
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Kahalé Nabil

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference46 articles.

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5. Closed-form expansions of discretely monitored Asian options in diffusion models;Cai;Mathematics of Operations Research,2013

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