An extension of the chaos expansion approximation for the pricing of exotic basket options
Year of publication: |
2014
|
---|---|
Authors: | Funahashi, Hideharu ; Kijima, Masaaki |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 1/2, p. 109-139
|
Subject: | Wiener-Ito chaos expansion | local volatility | average option | basket option | spread option | Asian basket option | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Derivat | Derivative | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Chaostheorie | Chaos theory | Stochastischer Prozess | Stochastic process |
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