A no-arbitrage pricing problem for arithmetic Asian options
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Publication:2712485
zbMATH Open0971.60065MaRDI QIDQ2712485
Publication date: 25 July 2001
Published in: Journal of Shandong University. Natural Science Edition (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options ⋮ New pricing formula for arithmetic Asian options using PDE approach ⋮ Pricing arithmetic Asian options under hybrid stochastic and local volatility
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