Pricing and hedging basket options with exact moment matching (Q343968)
From MaRDI portal
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)
0 references
21 November 2016
0 references
displaced log-normal jump-diffusion process
0 references
Hermite polynomials
0 references
moment matching
0 references
quasi-analytical pricing
0 references
basket options
0 references
