Approximated moment-matching dynamics for basket-options pricing
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Publication:4647590
DOI10.1088/1469-7688/4/1/001zbMath1405.91592OpenAlexW1995350495MaRDI QIDQ4647590
Fabio Mercurio, Francesco Rapisarda, Rita Scotti, Damiano Brigo
Publication date: 15 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/4/1/001
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