The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices
Year of publication: |
2003
|
---|---|
Authors: | Datey, Jean-Yves ; Gauthier, Genevieve ; Simonato, Jean-Guy |
Published in: |
Multinational Finance Journal. - Multinational Finance Society - MFS. - Vol. 7.2003, 1-2, p. 55-82
|
Publisher: |
Multinational Finance Society - MFS |
Subject: | analytical approximation | Asian option | basket option | option pricing | quanto option |
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