Pricing for geometric average Asian options under time-dependent parameters
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Publication:3501609
zbMATH Open1150.62445MaRDI QIDQ3501609FDOQ3501609
Authors: Xueqiao du, Mingxuan Shen 
Publication date: 3 June 2008
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- An analytical option pricing formula for mean-reverting asset with time-dependent parameter
- Estimation of ask and bid prices for geometric Asian options
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- Analytical valuation for geometric Asian options in illiquid markets
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