Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
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Publication:1409834
DOI10.1007/s007800100063zbMath1026.60052MaRDI QIDQ1409834
Klaus Sandmann, Jørgen Aase Nielsen
Publication date: 22 October 2003
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800100063
stochastic interest rates; forward risk adjusted measure; Black-Scholes option; pricing error bounds; value of Asian option
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