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  • Search: subject:"multiasset option"
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Year of publication
Subject
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Option pricing theory 3 Optionspreistheorie 3 multiasset option 3 Black-Scholes model 2 Black-Scholes-Modell 2 Dimension 2 Multiasset option 2 Multivariate normal distribution 2 Option trading 2 Optionsgeschäft 2 Stochastic process 2 Stochastischer Prozess 2 Analysis 1 Best-of option 1 Black-Scholes multidimensional equation 1 Derivat 1 Derivative 1 Double barrier 1 Heat equation 1 Mathematical analysis 1 Mixed derivative 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Multivariate Analyse 1 Multivariate analysis 1 Option on the maximum 1 Option on the maximum or the minimum 1 Parabolic 1 Rainbow option 1 Regression analysis 1 Regressionsanalyse 1 Sensitivity analysis 1 Sensitivitätsanalyse 1 Simulation 1 barrier option 1 best-of option 1 dimension 1 double-barrier option 1 measure-valued differentiation 1 multivariate lattice 1
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Online availability
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Undetermined 4 Free 1
Type of publication
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Article 4 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Aufsatz im Buch 1 Book section 1
Language
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English 3 Undetermined 2
Author
All
Guillaume, Tristan 3 Heidergott, Bernd 1 Lyuu, Yuh-dauh 1 Volk-Makarewicz, Warren 1 Zhang, Yu-Quan 1
Institution
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HAL 1
Published in...
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Decision making and risk/return optimization in financial economics 1 Mathematics of operations research 1 Post-Print / HAL 1 Review of Derivatives Research 1 The journal of futures markets 1
Source
All
ECONIS (ZBW) 3 RePEc 2
Showing 1 - 5 of 5
Cover Image
Pricing multiasset time-varying double-barrier options with time-dependent parameters
Lyuu, Yuh-dauh; Zhang, Yu-Quan - In: The journal of futures markets 43 (2023) 3, pp. 404-434
Persistent link: https://www.econbiz.de/10014293107
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On the multidimensional Black-Scholes partial differential equation
Guillaume, Tristan - In: Decision making and risk/return optimization in …, (pp. 229-251). 2019
Persistent link: https://www.econbiz.de/10012134802
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A measure-valued differentiation approach to sensitivities of quantiles
Heidergott, Bernd; Volk-Makarewicz, Warren - In: Mathematics of operations research 41 (2016) 1, pp. 293-317
Persistent link: https://www.econbiz.de/10011448383
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Making the best of best-of
Guillaume, Tristan - HAL - 2008
This paper extends the analytical valuation of options on the maximum or the minimum of several risky assets in several directions. The first extension consists in including more assets in the payoff and making the latter more flexible by adding knock-in and knock-out provisions. The second...
Persistent link: https://www.econbiz.de/10010821073
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Making the best of best-of
Guillaume, Tristan - In: Review of Derivatives Research 11 (2008) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10005709805
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