General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options.

Gianluca Fusai Ioannis Kyriakou

Published in: Math. Oper. Res. (2016)

Keyphrases

lower and upper bounds
lower bound
upper bound
special case
valid inequalities
upper and lower bounds
data sets
continuous domains
discrete space
discrete variables
continuous data
continuous variables
lower bounding
continuous space