Option pricing on multiple assets
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Publication:852003
DOI10.1007/S10440-006-9069-7zbMATH Open1108.91038OpenAlexW2075355186MaRDI QIDQ852003FDOQ852003
Authors: Thomas Branson, Yang Ho Choi 
Publication date: 27 November 2006
Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10440-006-9069-7
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Cites Work
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- The Valuation of American Options on Multiple Assets
- Introduction to stochastic integration.
- Some Properties of the Eigenfunctions of The Laplace-Operator on Riemannian Manifolds
- The Mathematics of Financial Derivatives
- A Course in Financial Calculus
- CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
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Cited In (7)
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- The Black–Scholes equation in the presence of arbitrage
- Option valuation with co-integrated asset prices
- Title not available (Why is that?)
- Operator trigonometry of multivariate finance
- Fourier inversion formulas for multiple-asset option pricing
- Multi-asset American options and parallel quantization
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