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Bounds for the price of a European-style Asian option in a binary tree model.
Huguette Reynaerts
Michèle Vanmaele
Jan Dhaene
Griselda Deelstra
Published in:
Eur. J. Oper. Res. (2006)
Keyphrases
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computational model
binary tree
prior knowledge
high level
conceptual model
formal model
management system
upper bound
theoretical analysis
mathematical model
statistical model
learning algorithm
lower bound
pairwise
high dimensional
experimental data