A simple efficient approximation to price basket stock options with volatility smile
Year of publication: |
February 2017
|
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Authors: | Wu, Ping ; Elliott, Robert J. |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 13.2017, 1, p. 1-29
|
Subject: | Basket options | Levy's method | Gentle's method | Log-normal approximation | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Aktienoption | Stock option | Optionsgeschäft | Option trading |
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