Browsing Endüstri Mühendisliği / Industrial Engineering by Subject "equations"
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(ELSEVIER SCIENCE BV, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS, 2007-03)We discuss the use of parallel computing in Asian option pricing and evaluate the efficiency of various algorithms. We only focus on "backward-starting fixed strike" Asian options that are continuously averaged. We implement ...