CLA’s, PLA’s and a new method for pricing general passport options
From MaRDI portal
Publication:5245459
DOI10.1080/14697688.2014.882011zbMath1402.91756MaRDI QIDQ5245459
Hamish Malloch, Peter W. Buchen
Publication date: 8 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2014.882011
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Options on a traded account: symmetric treatment of the underlying assets, Pricing European passport option with radial basis function
Cites Work
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