ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING
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Publication:4919615
DOI10.1111/j.1467-9965.2011.00481.xzbMath1272.91118MaRDI QIDQ4919615
Carol Alexander, Aanand Venkatramanan
Publication date: 14 May 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00481.x
basket options; analytic approximation; rainbow options; best-of and worst-of options; compound exchange options
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
