Analytical Valuation of American-Style Asian Options
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Publication:3114642
DOI10.1287/mnsc.46.8.1116.12027zbMath1232.91664OpenAlexW3122119074MaRDI QIDQ3114642
Peter Løchte Jørgensen, Asbjørn Hansen
Publication date: 19 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.46.8.1116.12027
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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