Stochastic covariance and dimension reduction in the pricing of basket options

DOI10.1007/S11147-016-9119-XzbMath1349.91305OpenAlexW2311329145MaRDI QIDQ345719

Daniel Krause, Marcos Escobar, Rudi Zagst

Publication date: 2 December 2016

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-016-9119-x

zbMATH Keywords

principal componentsbasket optionsstochastic covariance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

American-type basket option pricing: a simple two-dimensional partial differential equation

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