An extension of the chaos expansion approximation for the pricing of exotic basket options (Q4585895)
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scientific article; zbMATH DE number 6934617
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| English | An extension of the chaos expansion approximation for the pricing of exotic basket options |
scientific article; zbMATH DE number 6934617 |
Statements
An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options (English)
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11 September 2018
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Wiener-Ito chaos expansion
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local volatility
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average option
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basket option
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spread option
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Asian basket option
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0.8362275958061218
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0.818178117275238
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0.7918339967727661
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0.7791820168495178
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0.775416910648346
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