Approximate basket options valuation for a jump-diffusion model (Q659118): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3122867727 / rank | |||
Normal rank | |||
Revision as of 01:31, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximate basket options valuation for a jump-diffusion model |
scientific article |
Statements
Approximate basket options valuation for a jump-diffusion model (English)
0 references
10 February 2012
0 references
basket option pricing
0 references
jump-diffusion model
0 references
analytic approximation
0 references
conditional moment matching
0 references
