A Variable Reduction Technique for Pricing Average‐rate Options

Hua He and Akihiko Takahashi

International Review of Finance, 2000, vol. 1, issue 2, 123-142

Date: 2000
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https://doi.org/10.1111/1468-2443.00008

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Working Paper: A Variable Reduction Technique for Pricing Average-Rate Options (1995)
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