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- W2072078425 abstract "The goal of this article is to introduce strike Asian options on stochastic average and to price them using a variable reduction technique. The problem of solving the associated Black–Scholes equation is reduced to finding the heat kernel of the operator . This is done by two approaches: using a geometrical method and then applying the van Vleck formula; using a moments method to get a double infinite series formula involving Hermite polynomials." @default.
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- W2072078425 date "2012-01-01" @default.
- W2072078425 modified "2023-10-17" @default.
- W2072078425 title "Mathematical modelling and analysis of Asian options with stochastic strike price" @default.
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- W2072078425 doi "https://doi.org/10.1080/00036811.2010.538686" @default.
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