The Valuation of Path Dependent Contracts on the Average
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Publication:4287696
DOI10.1287/mnsc.39.10.1202zbMath0798.90025OpenAlexW2168975592MaRDI QIDQ4287696
L. Sankarasubramanian, A. Vijh, Peter H. Ritchken
Publication date: 1 November 1994
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.39.10.1202
option pricingarithmetic and geometric meansfinancial marketsAmerican contractspath dependence issues
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