Is Asian option Markov? - Quant版 - 未名存档

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Quant版 - Is Asian option Markov?

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话题: markov话题: asian话题: option

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x*****i
发帖数: 287

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I know it is a martingale, but not very sure whether it is Markov.
Seems not, since it depends on the whole path.

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话题: markov话题: asian话题: option

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