An efficient and stable method for short maturity Asian options
Author:
Affiliation:
1. Department of Physics and Hanlon Financial Systems Center; Stevens Institute of Technology; Hoboken New Jersey
2. Department of Financial Engineering; School of Business, Stevens Institute of Technology; Hoboken New Jersey
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21956/fullpdf
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4. Power options in executive compensation;Bernard;The Journal of Derivatives,2016
5. Impact of flexible periodic premiums on variable annuity guarantees;Bernard;North American Actuarial Journal,2017
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