Bounds for Asian basket options (Q932705)

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Bounds for Asian basket options
scientific article

    Statements

    title
    Bounds for Asian basket options (English)
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    author
    Griselda Deelstra
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    Ibrahima Diallo
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    Michèle Vanmaele
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    publication date
    11 July 2008
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    zbMATH Keywords
    Asian basket option
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    sum of non-independent random variables
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    non-comonotonic sum
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    60E15
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    60J65
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    zbMATH DE Number
    5300694
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    OpenAlex ID
    W2109808911
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