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"A Finite-Dimensional Approximation for Pricing Moving Average Options."

Marie Bernhart, Peter Tankov, Xavier Warin (2011)

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DOI: 10.1137/100815566

access: closed

type: Journal Article

metadata version: 2017-05-17

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Marie Bernhart, Peter Tankov, Xavier Warin:
A Finite-Dimensional Approximation for Pricing Moving Average Options. SIAM J. Financial Math. 2(1): 989-1013 (2011)

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