Journal of Financial and Quantitative Analysis · 1998 · 272 citations · 22 references
BusinessFinanceMathematicsFinancial EconomicsProbability TheoryQuantitative FinanceGenerating FunctionsNumerical Methods In FinanceOption PricingOption Pricing ModelsBlack-scholes ModelGamma Distribution ModelsGeneralized Gamma ModelInfinite SumsProbability Density Function EstimationProbability Density Function ModelingState-price DensityState-value Function
Moshe Arye Milevsky, Steven E. Posner, Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution, The Journal of Financial and Quantitative Analysis, Vol. 33, No. 3 (Sep., 1998), pp. 409-422
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