On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices (Q2384584)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices |
scientific article; zbMATH DE number 5199339
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices |
scientific article; zbMATH DE number 5199339 |
Statements
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices (English)
0 references
10 October 2007
0 references
Basket option
0 references
high-dimensional
0 references
mean-reverting
0 references
approximation
0 references
0.786436915397644
0 references
0.7675020098686218
0 references
0.7625935673713684
0 references
0.7611483931541443
0 references
