AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS (Q3022037): Difference between revisions

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Latest revision as of 10:54, 30 July 2024

scientific article
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AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS
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    AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS (English)
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    22 June 2005
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    Maximum entropy
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    moment problem
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    exotic options
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    Laplace transform
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    numerical inversion
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    Edgeworth approximation
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