Conditional Asian Options
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DOI: 10.1142/S0219024915500405
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Cited by:
- Wensheng Yang & Jingtang Ma & Zhenyu Cui, 2021. "Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 93(2), pages 359-412, April.
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Keywords
Option pricing; hedging; conditional Asian option; Asian option; Laplace transform inversion; asymptotic expansion; integral of geometric Brownian motion; occupation time; Lommel functions;All these keywords.
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