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- W2374425472 abstract "The pricing formula of chooser options is given by using an actuarial approach which is based on the actual probability measure of the price process and the fair premium principle.Under the hypothesis that the underlying asset price submits to the geometric Brownian motion,the accurate pricing formula is obtained with no dividends paid when the riskless interest rate,r(t),is expressed by the time-dependent functions and the volatility of the stock,σ,is constant." @default.
- W2374425472 created "2016-06-24" @default.
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- W2374425472 date "2007-01-01" @default.
- W2374425472 modified "2023-09-26" @default.
- W2374425472 title "An actuarial approach to pricing of chooser options" @default.
- W2374425472 hasPublicationYear "2007" @default.
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