On the equivalence of floating- and fixed-strike Asian options
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Publication:3153663
DOI10.1239/jap/1025131434zbMath1004.60042OpenAlexW3124087541MaRDI QIDQ3153663
Rafał Wojakowski, Vicky Henderson
Publication date: 6 February 2003
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/48614/1/Document.pdf
Brownian motiontime reversalAsian optionchange of numéraireput call symmetryfloating-strike Asian option
Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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