An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions (Q2855742)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions |
scientific article |
Statements
An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions (English)
0 references
22 October 2013
0 references
two-dimensional Fourier expansions
0 references
modified sine-sine expansions
0 references
rainbow options
0 references
correlation options
0 references
GBM model
0 references
SV model
0 references
0 references
0 references
0 references
