Asian options with jumps
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Publication:866600
DOI10.1016/j.spl.2006.05.003zbMath1122.91056OpenAlexW2093691065MaRDI QIDQ866600
Hsien-Jen Lin, Ching-Sung Chou
Publication date: 14 February 2007
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2006.05.003
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Cites Work
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- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- Pricing contingent claims on stocks driven by Lévy processes
- A partial introduction to financial asset pricing theory.
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- The value of an Asian option
- On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
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