Dionne, Georges; Gauthier, Geneviève; Ouertani, Nadia - Centre Interuniversitaire sur le Risque, les Politiques … - 2009
Basket options are among the most popular products of the new generation of exotic options. This attraction is … literature on basket options considers only homogeneous baskets where all the underlying assets are identical and hedge the same … basket options on commodity price with stochastic convenience yield, exchange rate, and domestic and foreign zero …