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A modified lattice approach to option pricing

✍ Scribed by Yisong Tian

Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
809 KB
Volume
13
Category
Article
ISSN
0270-7314

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In this work we analyze the value of an Asian arithmetic option with an approach different from that used by Geman and Yor with Bessel processes in 1993. We obtain the same solution of the valuation problem, without using any previous results based on Bessel processes; by means of partial differenti