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Date: 2017
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1251264
Description: This paper sets out to provide a general framework for the pricing of average-type options via lower and upper bounds. This class of options includes Asian, basket, and options on the volume-weighted ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/339500
Description: In some nonregular statistical estimation problems, the limiting likelihood processes are functionals of fractional Brownian motion (fBm) with Hurst's parameter H, 0 < H ≤ 1. In this paper we present ... More
Reviewed: Reviewed
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