Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
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Publication:4838331
DOI10.1287/mnsc.40.12.1705zbMath0824.90012OpenAlexW2019777691MaRDI QIDQ4838331
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Publication date: 13 July 1995
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.40.12.1705
option pricingconditioningAsian optionsEuropean optionsportfoliosdistribution-approximating procedures
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