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Asymptotic behavior of prices of path dependent options

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 نشر من قبل Yuji Hishida
 تاريخ النشر 2009
  مجال البحث مالية
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In this paper, we give a numerical method for pricing long maturity, path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent option by using some kinds of plain vanillas. We give some examples whose underlying assets behave as some popular Levy processes. Moreover, we give some payoffs and functions used to approximate them.



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