Derivatives

swMATH1304MaRDI QIDQ14044FDOQ14044

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Cited In (5)

• Prices and sensitivities of Asian options: A survey
• Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions
• Financial valuation of guaranteed minimum withdrawal benefits
• Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate
• Pricing electricity day-ahead cap futures with multifactor skew-t densities

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