Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
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- Tasadduq Imam & Kevin Tickle & Abdullahi Ahmed & William Guo, 2012. "Linear Relationship Between The Aud/Usd Exchange Rate And The Respective Stock Market Indices: A Computational Finance Perspective," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(1), pages 19-42, January.
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- Runhuan Feng & Hans W. Volkmer, 2015. "Conditional Asian Options," Papers 1505.06946, arXiv.org.
- João Pedro Vidal Nunes & Luís Alberto Ferreira De Oliveira, 2007. "Multifactor and analytical valuation of treasury bond futures with an embedded quality option," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(3), pages 275-303, March.
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KeywordsAsian exchange rate option; forward risk adjusted measure; stochastic interest rates.;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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