Obstacle problem for arithmetic Asian options (Q1046556)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Obstacle problem for arithmetic Asian options |
scientific article |
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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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