A Dynamic Programming Procedure for Pricing American-Style...

Management Science 2002 / 05 Vol. 48; Iss. 5

A Dynamic Programming Procedure for Pricing American-Style Asian Options

Ben-Ameur, Hatem, Breton, Michèle, L'Ecuyer, Pierre
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Volume:
48
Language:
english
Journal:
Management Science
DOI:
10.1287/mnsc.48.5.625.7803
Date:
May, 2002
File:
PDF, 291 KB
english, 2002
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