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American Asian option
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British Asian option
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arbitrage-free price
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arithmetic/geometric average
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fixed/floating strike
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flexible Asian options
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geometric Brownian motion
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local time-space calculus
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Finance Discipline Group, Business School
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
5
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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School of Economics and Finance, University of St. Andrews
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Anderson Graduate School of Management, University of California-Los Angeles (UCLA)
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Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH)
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School of Economics and Management, University of Aarhus
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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The British Asian Option
Glover, Kristoffer
;
Peskir, Goran
;
Samee, Farman
-
Finance Discipline Group, Business School
-
2009
-free price, rational exercise boundary, liquid/illiquid market,
geometric
Brownian
motion
, the Shiryaev process, optimal stopping …
Persistent link: https://www.econbiz.de/10004984481
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