A simple efficient approximation to price basket stock options with volatility smile (Q525204)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simple efficient approximation to price basket stock options with volatility smile |
scientific article |
Statements
A simple efficient approximation to price basket stock options with volatility smile (English)
0 references
28 April 2017
0 references
basket options
0 references
Levy's method
0 references
Gentle's method
0 references
log-normal approximation
0 references
0 references
