Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets
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More about this item
KeywordsC63 G13 Asian options Discrete monitoring Laplace transform Fourier transform Commodity markets Energy markets;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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