PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options (Q3448333): Difference between revisions

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PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
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    PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options (English)
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    23 October 2015
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    Asian option pricing
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    Lévy process
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    partial integro-differential equations (PIDE)
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    equivalent martingale measure
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    calibration
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