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Pricing of geometric Asian options under Heston's stochastic volatility model
Bara Kim
, In Suk Wee
Department of Mathematics
* Honorary professors
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Contribution to journal
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Article
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peer-review
31
Citations (Scopus)
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Keyphrases
Square-root Process
100%
Constant Weight
50%
Computational Stability
50%
Quadratic Weights
50%
Weighted Integral
50%
Fixed Strike
50%
Floating Strike
50%
Mathematics
Square Root
100%