Lower bound approximation of nonlinear basket option with jump-diffusion (Q5855718): Difference between revisions

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+Lower bound approximation of nonlinear basket option with jump-diffusion
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-.22124/jmm.2020.16126.1408
@@ Property / DOI: 10.22124/jmm.2020.16126.1408 / rank @@
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+MaRDI publication profile
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+https://jmm.guilan.ac.ir/article_4226_1b4d910cad60b8833e6f28bc1332a38b.pdf
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+W3164237665
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+Lower bound approximation of nonlinear basket option with jump-diffusion (English)
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@@ Property / cites work @@
+Pricing and Hedging Spread Options
@@ Property / cites work: Pricing and Hedging Spread Options / rank @@
+Normal rank
@@ Property / cites work @@
+Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
+Normal rank
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+Implicit numerical solutions for solving stochastic differential equations with jumps
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+A nonlinear option pricing model through the Adomian decomposition method
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+Numerical methods for nonlinear stochastic differential equations with jumps
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+Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
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+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
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@@ Property / cites work @@
+An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
+Normal rank
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+An asymptotic expansion approach to pricing financial contingent claims
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@@ Property / cites work @@
+Q4704020
@@ Property / cites work: Q4704020 / rank @@
+Normal rank
@@ Property / cites work @@
+Approximate basket options valuation for a jump-diffusion model
+Normal rank
@@ Property / cites work @@
+Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
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@@ Property / cites work @@
+LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
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+.22124/JMM.2020.16126.1408
@@ Property / DOI: 10.22124/JMM.2020.16126.1408 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5855718