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Pricing European average rate currency options

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Author Info
Levy, Edmond
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File URL: http://www.sciencedirect.com/science/article/B6V9S-45CWXNF-1K/2/2de397344c6ed46c32f49eb0d2feea23
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 11 (1992)
Issue (Month): 5 (October)
Pages: 474-491
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Handle: RePEc:eee:jimfin:v:11:y:1992:i:5:p:474-491

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Web page: http://www.elsevier.com/locate/inca/30443

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  1. Vicky Henderson & Rafal Wojakowski, 2001. "On the Equivalence of Floating and Fixed-Strike Asian Options," OFRC Working Papers Series 2001mf08, Oxford Financial Research Centre. [Downloadable!]
  2. Paul D. Sclavounos & Per Einar Ellefsen, 2009. "Multi-Factor Model of Correlated Commodity - Forward Curves for Crude Oil and Shipping Markets," Working Papers 0902, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research. [Downloadable!]
  3. Jin E. Zhang, 1999. "Arithmetic Asian Options with Continuous Sampling," Finance Working Papers 231, East Asian Bureau of Economic Research. [Downloadable!]
  4. Hart, Chad E. & Babcock, Bruce A. & Hayes, Dermot J., 2001. "Livestock Revenue Insurance," Staff General Research Papers 1932, Iowa State University, Department of Economics.
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  5. Paul H. Kupiec & James M. O'Brien, 1998. "Deposit insurance, bank incentives, and the design of regulatory policy," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 201-211. [Downloadable!]
  6. Hart, Chad E. & Hayes, Dermot J. & Babcock, Bruce A., 2003. "Insuring Eggs in Baskets: Should the Government Insure Individual Risks?," Staff General Research Papers 10669, Iowa State University, Department of Economics.
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  7. Chad E. Hart & Dermot J. Hayes & Bruce A. Babcock, 2003. "Insuring Eggs in Baskets," Food and Agricultural Policy Research Institute (FAPRI) Publications 03-wp339, Food and Agricultural Policy Research Institute (FAPRI) at Iowa State University. [Downloadable!]
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  8. Paolo Guasoni & Scott Robertson, 2008. "Optimal importance sampling with explicit formulas in continuous time," Finance and Stochastics, Springer, vol. 12(1), pages 1-19, January. [Downloadable!] (restricted)
  9. Shao, Renyuan & Roe, Brian, 2002. "The Design And Pricing Of Fixed And Moving Window Contracts: An Application Of Asian-Basket Option Pricing Methods To The Hog Finishing Sector," 2002 Annual meeting, July 28-31, Long Beach, CA 19823, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  10. Paul H. Kupiec & James M. O'Brien, 1997. "Deposit insurance, bank incentives, and the design of regulatory policy," Finance and Economics Discussion Series 1998-10, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  11. Nengjiu Ju & Rui Zhong, 2006. "Fourier transformation and the pricing of average-rate derivatives," Review of Derivatives Research, Springer, vol. 9(3), pages 187-212, November. [Downloadable!] (restricted)
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