The Effect of Correlation and Transaction Costs on the Pricing of Basket Options
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Publication:5363116
DOI10.1080/1350486X.2011.601919zbMath1372.91101WikidataQ60171461 ScholiaQ60171461MaRDI QIDQ5363116
Pongsathorn Ingpochai, Colin Atkinson
Publication date: 5 October 2017
Published in: Applied Mathematical Finance (Search for Journal in Brave)
stochastic controloption pricingperturbation analysistransaction costsLegendre transformationnumerical multiple integration
Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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