A Reduction Method Applicable to Compound Option Formulas (Q3477872)

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A Reduction Method Applicable to Compound Option Formulas
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    Statements

    title
    A Reduction Method Applicable to Compound Option Formulas (English)
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    author
    Mark Schroder
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    publication date
    1989
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    zbMATH Keywords
    reduction method
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    multivariate normal integrals
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    correlation matrix
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    option pricing theory
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    Identifiers

    DOI
    10.1287/mnsc.35.7.823
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    Mathematics Subject Classification ID
    65D32
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    91B24
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    62H99
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    zbMATH DE Number
    4147387
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    OpenAlex ID
    W2106479338
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