Search for tag: "factorisation"
ORIE Colloquium on 2/14/2012 - Pierre Patie: Asian Options and Wiener-Hopf Type FactorizationTuesday, February 14 at 4:15pm Frank H.T. Rhodes Hall, 253 Asian options are path-dependent contingent claims, whose payoff is a function of the average of underlying prices over a prescribed time…
From E. Cornelius
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