Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method (Q661267): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method |
scientific article |
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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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