"Short Maturity Asian Options in Local Volatility Models."

Dan Pirjol, Lingjiong Zhu (2016)

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DOI: 10.1137/15M1047568

access: closed

type: Journal Article

metadata version: 2017-05-17

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Dan Pirjol, Lingjiong Zhu:
Short Maturity Asian Options in Local Volatility Models. SIAM J. Financial Math. 7(1): 947-992 (2016)

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