Obstacle problem for arithmetic Asian options (Q1046556): Difference between revisions
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scientific article
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English | Obstacle problem for arithmetic Asian options |
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Obstacle problem for arithmetic Asian options (English)
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22 December 2009
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degenerate parabolic PDE
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SDE
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local volatility
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arithmetic average and geometric average Asian option
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Amerasian option
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Feynamn-Kač
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