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Comprehensive theoretical analysis of pricing path-dependent
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H. Ben Ameur, M. Breton, and P. L'Ecuyer.
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Formulate the problem of pricing Asian options as a dynamic
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M. Broadie and P. Glasserman.
Estimating security price derivatives using simulation.
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D. P. Leisen.
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Theoretical and numerical investigation of the convergence
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Introduction of a new method for decreasing initial errors.
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F. Longstaff and E. Schwartz.
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Least Squares Monte Carlo approach for pricing options with
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P. Wilmott, S. Howison, and J. Dewynne.
The Mathematics of Financial Derivatives.
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Introductory text on financial derivatives. Options and
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R. Zvan, P. Forsyth, and K. Vetzal.
Robust numerical methods for PDE models of Asian options.
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