Flexible Bucket-Dividing Scheme for Pricing Asian Options
碩士 === 國立中正大學 === 應用數學研究所 === 95 === In this paper, we propose an accurate and stable AMO based algorithm for pricing Asian options. In this algorithm, we introduce not only the adjustable number of buckets at each node, but also a flexible prefix-sum-range dividing strategy based on the Costabile-M...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/36285598244684154537 |