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The price of a lookback option as the solution of a boundary-value problem for the heat equation. (English. Russian original) Zbl 1180.91292

Comput. Math. Model. 20, No. 1, 65-70 (2009); translation from Prikl. Mat. Inf. 28, 66-72 (2008).
MSC:  91G20 35K05 35K20
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