Pricing of Asian-type and basket options via bounds (Q2967982)
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scientific article
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| English | Pricing of Asian-type and basket options via bounds |
scientific article |
Statements
Pricing of Asian-Type and Basket Options via Bounds (English)
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9 March 2017
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Asian options
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basket options
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lower and upper bounds
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volume-weighted average prices (VWAP)
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Lévy processes
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0.8650730848312378
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0.8433982133865356
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0.825347363948822
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0.8081766366958618
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0.8062130212783813
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