Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method (Q661267)
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scientific article; zbMATH DE number 6004770
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| English | Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method |
scientific article; zbMATH DE number 6004770 |
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Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method (English)
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10 February 2012
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basket options pricing
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local volatility jump
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diffusion model
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forward PIDE
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asymptotic expansion
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0.892242968082428
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0.8624088764190674
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0.8264647126197815
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0.8261908888816833
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