Approximate basket options valuation for a jump-diffusion model (Q659118): Difference between revisions

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+Q4425386
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+On Asian option pricing for NIG Lévy processes
@@ Property / cites work: On Asian option pricing for NIG Lévy processes / rank @@
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+Static super-replicating strategies for a class of exotic options
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+Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
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+Pricing of arithmetic basket options by conditioning.
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+The concept of comonotonicity in actuarial science and finance: theory.
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+The concept of comonotonicity in actuarial science and finance: applications.
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+Static-arbitrage upper bounds for the prices of basket options
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+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
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+Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
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+Publication:659118