PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options (Q3448333)
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scientific article; zbMATH DE number 6497856
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| English | PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options |
scientific article; zbMATH DE number 6497856 |
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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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0.88603735
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0.88076437
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0.8789885
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0.87745047
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0.8748616
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0.8681337
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0.8677437
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