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Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes.
Zhenyu Cui
Chi-Hoon Lee
Yanchu Liu
Published in:
Eur. J. Oper. Res. (2018)
Keyphrases
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markov processes
markov chain
markov process
option pricing
continuous time bayesian networks
bayesian networks
reinforcement learning
special case
higher order