| Pricing Asian options via Taylor approximations (JNCA) |
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Volume 16
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Number 10
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pp. 2067-2086
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| Pricing Asian options via Taylor approximations |
| Chin-Chun Lai and Hong-Kun Xu |
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| Key words |
Mathematices Subject Classification |
| Asian options, arithmetic average, valuation, geometric Brownian motion, Taylor series
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Primary 91G20; Secondary 60J65, 65C30 |
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| Copyright© 2015 Yokohama Publishers |
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