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Approximation Formula for Forward Scattering

✍ Scribed by PENNDORF, RUDOLF B.


Book ID
115380048
Publisher
Optical Society of America
Year
1962
Weight
424 KB
Volume
52
Category
Article
ISSN
0030-3941

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Analytic approximation formulae for pric
✍ Chueh-Yung Tsao; Chuang-Chang Chang; Chung-Gee Lin πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 190 KB

## Abstract In this article we first identify a missing term in the Bouaziz, Briys, and Crouhy (1994) pricing formula for forward‐starting Asian options and derive the correct one. First, illustrate in certain cases that the missing term in their pricing formula could induce large pricing errors or