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- W103470483 abstract "We prove change of variables formulas [Ito formulas] for functions of both arithmetic and geometric averages of geometric fractional Brownian motion. They are valid for all convex functions, not only for smooth ones. These change of variables formulas provide us integral representations of functions of average in the sense of generalized Lebesgue-Stieltjes integral." @default.
- W103470483 created "2016-06-24" @default.
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- W103470483 date "2011-02-25" @default.
- W103470483 modified "2023-09-27" @default.
- W103470483 title "How to hedge Asian options in fractional Black-Scholes model" @default.
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