On the modified arithmetic Asian option equation and its analytical solution
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Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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- Fourier transform of the continuous arithmetic Asian options PDE
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