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Numerical Computation of an Integral Representation for Arithmetic-Average Asian Options

✍ Scribed by K. Petras


Book ID
106202535
Publisher
Springer Vienna
Year
2004
Tongue
English
Weight
276 KB
Volume
73
Category
Article
ISSN
0010-485X

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Short note: An integrable numerical algo
✍ Jian-Qing Sun; Xing-Biao Hu; Hon-Wah Tam πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 123 KB

This paper is motivated by some recent work of Fukuda, Ishiwata, Iwasaki, and Nakamura (Inverse Problems 2009; 25:015007). We first design an algorithm for computing the eigenvalues of a specially structured matrix from the discrete Bogoyavlensky Lattice 2 (dBL2) system. A Lax representation for the