American-type basket option pricing : a simple two-dimensional partial differential equation
Year of publication: |
2019
|
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Authors: | Hanbali, Hamza ; Linders, Daniel |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 10, p. 1689-1704
|
Subject: | Basket options | Black & Scholes | Comonotonicity | Finite difference method | Least-Squares Monte-Carlo | Partial differential equations | Pricing and hedging | Optionspreistheorie | Option pricing theory | Hedging | Analysis | Mathematical analysis | Black-Scholes-Modell | Black-Scholes model |
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