Pages that link to "Item:Q661267"
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The following pages link to Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method (Q661267):
Displayed 11 items.
- An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets (Q495066) (← links)
- Model risk and discretisation of locally risk-minimising strategies (Q730515) (← links)
- A new concept of reliability system and applications in finance (Q2150787) (← links)
- On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (Q3449446) (← links)
- Asymptotic Expansion Approach in Finance (Q4560338) (← links)
- Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model (Q4689916) (← links)
- General closed-form basket option pricing bounds (Q5001150) (← links)
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (Q5358059) (← links)
- LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS (Q5411747) (← links)
- LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS (Q5411991) (← links)
- Lower bound approximation of nonlinear basket option with jump-diffusion (Q5855718) (← links)