Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model
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Publication:4689916
DOI10.1007/978-3-319-33446-2_16zbMath1398.91605OpenAlexW3122325944MaRDI QIDQ4689916
Publication date: 22 October 2018
Published in: Innovations in Derivatives Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-33446-2_16
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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