Pricing Asian options on assets driven by a combined geometric Brownian motion and a geometric compound Poisson process (Q2786401)
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scientific article; zbMATH DE number 5789992
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing Asian options on assets driven by a combined geometric Brownian motion and a geometric compound Poisson process |
scientific article; zbMATH DE number 5789992 |
Statements
22 September 2010
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Asian options
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Poisson measure
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Markovian processes
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the Itô formula
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integro-differential equations
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Pricing Asian options on assets driven by a combined geometric Brownian motion and a geometric compound Poisson process (English)
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