Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
Jacinto Marabel Romo
| Year of publication: |
April 2016
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| Authors: | Romo, Jacinto Marabel |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 19.2016, 1, p. 65-83
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| Subject: | Stochastic correlation | Stochastic volatility | Multifactor | Worst-of options | Outperformance options | Equally weighted basket options | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-015-9115-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011742281