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Abstract: In this paper, we give a numerical method for pricing long maturity, pathdependent options by using the Markov property for each underlying asset. Thisenables us to approximate a path dependent option by using some kinds of plainvanillas. We give some examples whose underlying assets behave as some popularLevy processes. Moreover, we give some payoffs and functions used toapproximate them.



Author: Yuji Hishida, Kenji Yasutomi

Source: https://arxiv.org/







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