Obstacle problem for arithmetic Asian options (Q1046556): Difference between revisions

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Latest revision as of 07:29, 2 July 2024

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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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