Efficient quadratic approximation of floating strike Asian option values

Accounting and Finance

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published

Standard

Efficient quadratic approximation of floating strike Asian option values. / Chung, S L; Shackleton, M B ; Wojakowski, R M.
In: Finance, Vol. 24, No. 1, 2003, p. 49-62.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Bibtex

@article{c2de228f55e14f0a8bbcf25f75a25291,

title = "Efficient quadratic approximation of floating strike Asian option values",

author = "Chung, {S L} and Shackleton, {M B} and Wojakowski, {R M}",

year = "2003",

language = "English",

volume = "24",

pages = "49--62",

journal = "Finance",

issn = "0752-6180",

publisher = "Presses Universitaires de Grenoble",

number = "1",

}

RIS

TY - JOUR

T1 - Efficient quadratic approximation of floating strike Asian option values

AU - Chung, S L

AU - Shackleton, M B

AU - Wojakowski, R M

PY - 2003

Y1 - 2003

M3 - Journal article

VL - 24

SP - 49

EP - 62

JO - Finance

JF - Finance

SN - 0752-6180

IS - 1

ER -

Research