Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
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DOI: 10.1017/apr.2017.9
Abstract: Abstract The time average of geometric Brownian motion plays a crucial role in the pricing of Asian options in mathematical finance. In this paper we consider the asymptotics of the discrete-time average of a geometric… read more here.
Keywords: average geometric; geometric brownian; time average; time ... See more keywords