Lower bound approximation to basket option values for local volatility jump-diffusion models
Year of publication: |
2014
|
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Authors: | Xu, Guoping ; Zheng, Harry |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 1, p. 1-15
|
Subject: | Basket options valuation | local volatility jump-diffusion model | lower bound approximation | second order asymptotic expansion | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Black-Scholes-Modell | Black-Scholes model |
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