Another look at the integral of exponential Brownian motion and the pricing of Asian options
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DOI: 10.1007/s00780-016-0307-1
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References listed on IDEAS
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Cited by:
- Yuu Hariya, 2022. "Integral Representations for the Hartman–Watson Density," Journal of Theoretical Probability, Springer, vol. 35(1), pages 209-230, March.
- Rupak Chatterjee & Zhenyu Cui & Jiacheng Fan & Mingzhe Liu, 2018. "An efficient and stable method for short maturity Asian options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1470-1486, December.
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More about this item
Keywords
Exponential Brownian motion; Random environment; Asian options;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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