Pricing Asian power options under jump-fraction process
Year of publication: |
2012
|
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Authors: | Peng, Bin ; Peng, Fei |
Published in: |
Journal of Economics, Finance and Administrative Science. - Barcelona : Elsevier España, ISSN 2218-0648. - Vol. 17.2012, 33, p. 2-9
|
Publisher: |
Barcelona : Elsevier España |
Subject: | Asian power option | Geometric average | Arithmetic average | Jump-fraction process | Control variate | Opciones energéticas de Asia | Media geométrica | Media aritmét©ica | Método de fracciones discontinuas | Variable de control |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.1016/S2077-1886(12)70002-1 [DOI] 1026818761 [GVK] hdl:10419/179721 [Handle] RePEc:ris:joefas:0047 [RePEc] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; F17 - Trade Forecasting and Simulation |
Source: |
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