Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
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Publication:1754191
DOI10.1016/j.ejor.2017.10.049zbMath1403.91336OpenAlexW3124556755MaRDI QIDQ1754191
Chihoon Lee, Yanchu Liu, Zhen-Yu Cui
Publication date: 30 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2017.10.049
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
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