Prices and hedge ratios of average exchange rate options
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 1 (1992)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/inca/620166
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- E. Benhamou, 2001. "Fast Fourier Transform for discrete Asian Options," Computing in Economics and Finance 2001 6, Society for Computational Economics.
- Benhamou, Eric & Duguet, Alexandre, 2003. "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2095-2114, September.
- Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics.
- Nielsen, J.A. & Sandmann, K., 1998. "Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options," Discussion Paper Serie B 431, University of Bonn, Germany.
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