Pricing and hedging basket options with exact moment matching (Q343968): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6654898 / rank | |||
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| Property / zbMATH Keywords | |||
displaced log-normal jump-diffusion process | |||
| Property / zbMATH Keywords: displaced log-normal jump-diffusion process / rank | |||
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Hermite polynomials | |||
| Property / zbMATH Keywords: Hermite polynomials / rank | |||
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| Property / zbMATH Keywords | |||
moment matching | |||
| Property / zbMATH Keywords: moment matching / rank | |||
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| Property / zbMATH Keywords | |||
quasi-analytical pricing | |||
| Property / zbMATH Keywords: quasi-analytical pricing / rank | |||
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| Property / zbMATH Keywords | |||
basket options | |||
| Property / zbMATH Keywords: basket options / rank | |||
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Revision as of 06:51, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and hedging basket options with exact moment matching |
scientific article |
Statements
Pricing and hedging basket options with exact moment matching (English)
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21 November 2016
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displaced log-normal jump-diffusion process
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Hermite polynomials
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moment matching
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quasi-analytical pricing
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basket options
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