R package fAsianOptions: Rmetrics - EBM and Asian Option Valuation. Provides functions for pricing and valuating Asian Options together with tools for analyzing and modeling Exponential Brownian Motion (EBM).
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References in zbMATH (referenced in 1 article )
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- Neville, Sarah E.; Ormerod, John T.; Wand, M. P.: Mean field variational Bayes for continuous sparse signal shrinkage: pitfalls and remedies (2014)