| 期刊論文1. | Chalasani, P.、Jha. S.、Varikooty, A.(1998)。Accuratc approximations for Eviropean-style Asian options。Journal of Computational Finance,1(4),11-30。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Chalasani, P.、Jha, S.、Egriboyun, F.、Varikooly, A.(1999)。A refined binomial lattice for pricing American Asian options。Review of Derivatives Research,3(1),85-105。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Costabile, M.、Massabo, I.、Russo, E.(2006)。An adjusted binomial model for pricing Asian options。Review of Quantitative Finance and Accounting,27(3),285-296。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Dai, T. S.、Lyuu, Y, D.(2002)。Efficient, Exact Algorithms for Asian Options Algorithms with Multiresolution Lattices。Review of Derivatives Researches,5,181-203。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | D'Halluin, Y.、Forsyth, P. A.、Labahn, G.(2005)。A semi-Lagrangian approach for American Asian options under jump diffusion。SIAM Journal of Scientific Comnuting,27(1),315-345。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Milevsky, M. A.、Posner, S. E.(1998)。Asian options, the sum of lognoraials, and the reciprocal Gamma distribution。Journal of Financial and Quantitative Analysis,33,409-422。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Vcccr, J.(2001)。Anew PDE approach for pricing arithmetic average Asian options。Journal of Computational Finance,4(4),105-113。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Carriere, J(1996)。Valuation of Early-Exercise Price of Options Using Simulations and Nonparametric Regression。Insurance: Mathematics and Economics,19,19-30。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Dai, T. S.、Huang, G. -S.、Lyuu, Y. -D.(2005)。An Efficient Convergent Lattice Algorithm for European Asian Options。Applied Mathematics and Computation,169,1458-1471。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | Tsitsiklis, John N.、Van Roy, Benjamin(1999)。Optimal stopping of Markov processes: Hilbert Space Theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives。IEEE Transactions on Automatic Control,44,1840-1851。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | Longstaff, F. A.、Schwartz, E. A.(2001)。Valuing American options by simulation: A simple least-squares approach。Review of Financial Studies,14,113-147。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 12. | Grant, D.、Vora, G.、Week, D.(199711)。Path-Dependent Options: Extending the Monle Carlo Simulation Approach。Management Science,43,1589-1602。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 13. | Tilley, J. A.(1993)。Valuing American Options in a Path Simulation Model。Transactions of the Society of Actuaries,45,83-104。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 14. | Hull, John C.、White, Alan D.(1993)。Efficient procedures for valuing European and American path-dependent options。Journal of Derivatives,1(1),21-31。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 15. | Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 16. | Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 研究報告1. | Dai, T. S.(2004)。Pricing Asian Options on Lattices。National Taiwan University。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 圖書1. | Dai, T. S.、Wang, J. Y.、Wei, S.(2007)。An Tnuenious, Piecewise Linear Interpolalion Algorithm for Pricing Arithmetic Average Options。Lecture Notes in Computer Science。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |