Fast Pricing of European Asian Options with Provable Accuracy: Single-stock and Basket Options

Karhan Akcoglu Ming-Yang Kao Shuba V. Raghavan

Published in: CoRR (2001)

Keyphrases

option pricing
stock price
black scholes model
high accuracy
double exponential
black scholes
stock market
convertible bonds
data sets
decision trees
computational complexity
computational cost
image registration
non stationary
prediction accuracy
computational efficiency