LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS (Q5411991)
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scientific article; zbMATH DE number 6288566
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS |
scientific article; zbMATH DE number 6288566 |
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LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS (English)
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25 April 2014
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basket options valuation
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local volatility jump-diffusion model
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lower bound approximation
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second-order asymptotic expansion
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