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"Analysis of Markov chain approximation for Asian options and ..."

Wensheng Yang, Jingtang Ma, Zhenyu Cui (2021)

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DOI: 10.1007/S00186-020-00735-5

access: closed

type: Journal Article

metadata version: 2021-07-29

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Wensheng Yang, Jingtang Ma, Zhenyu Cui:
Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates. Math. Methods Oper. Res. 93(2): 359-412 (2021)

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