PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS (Q3005964)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS |
scientific article |
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PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS (English)
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10 June 2011
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Asian options
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affine GARCH models
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Fourier transform
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semi-analytical valuation
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Edgeworth series
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