On the differential equations and asymptotic solutions for arithmetic asian-rate call options
Asian options are securities whose payoff depends on the average of the underlying stock prices over a certain period of time. A variety of techniques have been developed to analyze arithmetic asian options.Dewynne and Shaw (2007) presented a way of pricing asian rate call options using partial diff...
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| Formato: | Tese |
| Idioma: | English |
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Quezon City
Institute of Mathematics, College of Science, University of the Philippines Diliman
2013.
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