A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets (Q665717)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets |
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A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets (English)
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6 March 2012
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high-dimensional options
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maximum
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minimum
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mean-reverting
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stochastic volatility
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