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A new look at pricing of the “Russian option”. (English. Russian original) Zbl 0834.60072

Theory Probab. Appl. 39, No. 1, 103-119 (1994); translation from Teor. Veroyatn. Primen. 39, No. 1, 130-149 (1994).
See the review in Zbl 0829.60055.

MSC:

60H30 Applications of stochastic analysis (to PDEs, etc.)
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