Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
Year of publication: |
1 May 2018
|
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Authors: | Cui, Zhenyu ; Lee, Chihoon ; Liu, Yanchu |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 266.2018, 3 (1.5.), p. 1134-1139
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Subject: | Finance | Asian option | Markov process | Continuous-time Markov chain | Laplace transform | Markov-Kette | Markov chain | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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