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- W4384919673 abstract "This paper will demonstrate some new techniques for developing the theory of Asian (arithmetic average) options pricing. We discuss the basic derivation of the diffusion equations, and how various techniques from potential theory can be applied to solve these complex expressions. The Whittaker-type confluent hypergeometric functions are introduced, and we discuss how these functions are related to other systems including Mehler-Fock and modified Bessel functions. We close with a brief analysis of some index transforms and the kernels related to these integral transforms." @default.
- W4384919673 created "2023-07-21" @default.
- W4384919673 creator A5042861071 @default.
- W4384919673 date "2023-06-01" @default.
- W4384919673 modified "2023-09-24" @default.
- W4384919673 title "Asian Option Pricing via Laguerre Quadrature: A Diffusion Kernel Approach" @default.
- W4384919673 doi "https://doi.org/10.48550/arxiv.2307.09969" @default.
- W4384919673 hasPublicationYear "2023" @default.
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