Short Maturity Forward Start Asian Options in Local Volatility Models
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Publication:5241901
DOI10.1080/1350486X.2019.1584533zbMath1426.91274arXiv1710.03160WikidataQ127401027 ScholiaQ127401027MaRDI QIDQ5241901
Lingjiong Zhu, Jing Wang, Dan Pirjol
Publication date: 4 November 2019
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.03160
Related Items (2)
Short maturity conditional Asian options in local volatility models ⋮ On the distribution of the time-integral of the geometric Brownian motion
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