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Closed-form expansions of discretely monitored asian options in diffusion models
discretely monitored Asian options the CEV model the CIR process the Black-Scholes model the Brennan and Schwartz process small-time expansion
2016/1/20
In this paper we propose a closed-form asymptotic expansion approach to pricing discretely monitored Asian options in general one-dimensional diffusion models. Our expansion is a small-time expansion ...