Journal of Mathematical Finance

Vol.6 No.5(2016), Paper ID 72116, 32 pages

DOI:10.4236/jmf.2016.65056

 

Pricing Asian Options: A Comparison of Numerical and Simulation Approaches Twenty Years Later

 

Akos Horvath, Peter Medvegyev

 

Department of Finance, University of Vienna, Vienna, Austria
Department of Mathematics, Corvinus University of Budapest, Budapest, Hungary

 

Copyright © 2016 Akos Horvath, Peter Medvegyev et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article


Horvath, A. and Medvegyev, P. (2016) Pricing Asian Options: A Comparison of Numerical and Simulation Approaches Twenty Years Later. Journal of Mathematical Finance, 6, 810-841. doi: 10.4236/jmf.2016.65056.

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