Conditional moment matching for pricing arithmetic Asian options under Vasicek interest rate model (Q6615089)
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scientific article; zbMATH DE number 7922862
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| English | Conditional moment matching for pricing arithmetic Asian options under Vasicek interest rate model |
scientific article; zbMATH DE number 7922862 |
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Conditional moment matching for pricing arithmetic Asian options under Vasicek interest rate model (English)
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8 October 2024
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Asian options
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conditional moment matching
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stratified approximations
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Vasicek interest rate model
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