On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices (Q2384584)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices |
scientific article |
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On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices (English)
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10 October 2007
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Basket option
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high-dimensional
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mean-reverting
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approximation
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