Stochastic covariance and dimension reduction in the pricing of basket options
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Publication:345719
DOI10.1007/s11147-016-9119-xzbMath1349.91305OpenAlexW2311329145MaRDI QIDQ345719
Daniel Krause, Marcos Escobar, Rudi Zagst
Publication date: 2 December 2016
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-016-9119-x
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