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"Pricing Arithmetic Asian Options Under Lévy Models by Backward ..."

Sergei Levendorskii (2018)

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DOI: 10.1137/16M1108133

access: closed

type: Journal Article

metadata version: 2018-05-23

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Sergei Levendorskii:
Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space. SIAM J. Financial Math. 9(1): 1-27 (2018)

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