An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options

Tian-Shyr DaiJR-YAN WANGHui-Shan Wei2010-10-082018-06-292010-10-082018-06-292007-07http://ntur.lib.ntu.edu.tw//handle/246246/212942en-USAn Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Optionsjournal article10.1007/978-3-540-72870-2_25