Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? (Q315045)
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scientific article; zbMATH DE number 6628443
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| English | Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? |
scientific article; zbMATH DE number 6628443 |
Statements
Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? (English)
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19 September 2016
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stochastic correlation
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stochastic volatility
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multifactor
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worst-of options
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outperformance options
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equally weighted basket options
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0.6935034394264221
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0.6874452829360962
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0.6817970871925354
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0.6803755164146423
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0.6789386868476868
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