Geometric Asian option: Geometric Ornstein-Uhlenbeck process
Asian options, also known as average value options, are exotic options whose payoffs are dependent on the average prices of the underlying assets over the life of the options. The Asian options are very popular among the market participants when dealing with thinly traded commodities because the ave...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2016
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| Online Access: | http://hdl.handle.net/11427/22062 |