Analytical valuation for geometric Asian options in illiquid markets
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Publication:2150932
DOI10.1016/j.physa.2018.05.069zbMath1494.91159OpenAlexW2804925109MaRDI QIDQ2150932
Yong-Jun Liu, Wei-Guo Zhang, Zhe Li
Publication date: 30 June 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2018.05.069
Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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