"Pricing Discretely Monitored Asian Options by Maturity Randomization."

Gianluca Fusai, Daniele Marazzina, Marina Marena (2011)

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DOI: 10.1137/09076115X

access: closed

type: Journal Article

metadata version: 2017-06-08

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Gianluca Fusai, Daniele Marazzina, Marina Marena:
Pricing Discretely Monitored Asian Options by Maturity Randomization. SIAM J. Financial Math. 2(1): 383-403 (2011)

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