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- W3121330205 abstract "We develop approximate formulae expressed in terms of elementary functions for the density, the price and the Greeks of path dependent options of Asian style, in a general local volatility model. An algorithm for computing higher order approximations is provided. The proof is based on a heat kernel expansion method in the framework of hypoelliptic, not uniformly parabolic, partial differential equations." @default.
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- W3121330205 date "2011-01-01" @default.
- W3121330205 modified "2023-09-27" @default.
- W3121330205 title "Black-Scholes formulae for Asian options in local volatility models" @default.
- W3121330205 hasPublicationYear "2011" @default.
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