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Pricing forward-starting power Asian options with floating strike price

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Publication:3175897
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zbMATH Open1399.91143MaRDI QIDQ3175897FDOQ3175897

Guohe Deng, Guangming Xue

Publication date: 18 July 2018





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zbMATH Keywords

Monte Carlo simulationvariance reduction techniquepower optionsfloating strike priceforward-starting Asian option


Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)







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