Weak approximations for arithmetic means of geometric Brownian motions and applications to Basket options
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References listed on IDEAS
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More about this item
KeywordsWeak approximation; Geometric Brownian motion; Arithmetic mean; Malliavin calculus; Basket options;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-05-28 (All new papers)
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