Entropic two-asset option
Year of publication: |
2024
|
---|---|
Authors: | Sebehela, Tumellano |
Published in: |
Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 2. - New Jersey : World Scientific, ISBN 978-981-12-6323-1. - 2024, p. 1077-1128
|
Subject: | B-S model | Cox process | Exchange option | Inverse Fourier transform | Poisson process |
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