On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices
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Publication:2384584
DOI10.1016/j.cor.2006.02.020zbMath1139.91336OpenAlexW2090990773MaRDI QIDQ2384584
Publication date: 10 October 2007
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2006.02.020
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Cites Work
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- Mean-variance hedging in continuous time
- Pricing of arithmetic basket options by conditioning.
- A Theory of the Term Structure of Interest Rates
- Quasi-Monte Carlo Methods in Numerical Finance
- On a semi-spectral method for pricing an option on a mean-reverting asset
- An equilibrium characterization of the term structure
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