Analytical pricing of discrete arithmetic Asian options...

International Journal of Financial Engineering 2018 / 03 Vol. 5; Iss. 1

Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change

Tong, Zhigang, Liu, Allen
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Volume:
5
Language:
english
Journal:
International Journal of Financial Engineering
DOI:
10.1142/S2424786318500020
Date:
March, 2018
File:
PDF, 221 KB
english, 2018
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