Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method (Q661267): Difference between revisions

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Latest revision as of 22:14, 4 July 2024

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Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
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    Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method (English)
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    10 February 2012
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    basket options pricing
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    local volatility jump
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    diffusion model
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    forward PIDE
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    asymptotic expansion
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