The British Asian Option
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KeywordsBritish Asian option; American Asian option; European Asian option; fixed/floating strike; arithmetic/geometric average; flexible Asian options; arbitrage-free price; rational exercise boundary; liquid/illiquid market; geometric Brownian motion; the Shiryaev process; optimal stopping; parabolic free-boundary problem; nonlinear integral equation; local time-space calculus;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-07-03 (All new papers)
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