A Finite-Dimensional Approximation for Pricing Moving Average Options (Q5388693)

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scientific article; zbMATH DE number 6025789
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A Finite-Dimensional Approximation for Pricing Moving Average Options
scientific article; zbMATH DE number 6025789

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    A Finite-Dimensional Approximation for Pricing Moving Average Options (English)
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    19 April 2012
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    American options
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    indexed swing options
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    moving average
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    finite-dimensional approximation
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    Laguerre polynomial
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    least squares Monte Carlo
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