Pages that link to "Item:Q1430672"
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The following pages link to Pricing of arithmetic basket options by conditioning. (Q1430672):
Displaying 40 items.
- Pricing and hedging basket options with exact moment matching (Q343968) (← links)
- An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets (Q495066) (← links)
- A simple efficient approximation to price basket stock options with volatility smile (Q525204) (← links)
- Approximate basket options valuation for a jump-diffusion model (Q659118) (← links)
- Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables (Q704415) (← links)
- Static-arbitrage optimal subreplicating strategies for basket options (Q817290) (← links)
- Pricing and hedging Asian basket spread options (Q848538) (← links)
- Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options (Q898624) (← links)
- Bounds for Asian basket options (Q932705) (← links)
- Quantifying the error of convex order bounds for truncated first moments (Q939362) (← links)
- Moment matching approximation of Asian basket option prices (Q970389) (← links)
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance (Q1698923) (← links)
- A moment matching approach to log-normal portfolio optimization (Q1789581) (← links)
- Efficient basket Monte Carlo option pricing via a simple analytical approximation (Q1936188) (← links)
- Density estimates and short-time asymptotics for a hypoelliptic diffusion process (Q2074984) (← links)
- Comonotonic asset prices in arbitrage-free markets (Q2279857) (← links)
- On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices (Q2384584) (← links)
- Control variates and conditional Monte Carlo for basket and Asian options (Q2443219) (← links)
- A framework for robust measurement of implied correlation (Q2517482) (← links)
- Bounds for the price of discrete arithmetic Asian options (Q2570028) (← links)
- Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences (Q2656111) (← links)
- A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk (Q2698069) (← links)
- European basket option pricing by maximizing over a subset of lower bounds (Q2862816) (← links)
- Computing general static-arbitrage bounds for European basket options via Dantzig-Wolfe decomposition (Q2865856) (← links)
- The multivariate Black \& Scholes market: conditions for completeness and no-arbitrage (Q2923401) (← links)
- Pricing of basket options using univariate normal inverse Gaussian approximations (Q2997946) (← links)
- Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing (Q3068183) (← links)
- Static-arbitrage upper bounds for the prices of basket options (Q3375374) (← links)
- Accurate closed-form approximation for pricing Asian and basket options (Q3552634) (← links)
- Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model (Q4689916) (← links)
- General closed-form basket option pricing bounds (Q5001150) (← links)
- The multivariate Variance Gamma model: basket option pricing and calibration (Q5001151) (← links)
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions (Q5031759) (← links)
- Efficient multiple control variate method with applications to exotic option pricing (Q5079476) (← links)
- American-type basket option pricing: a simple two-dimensional partial differential equation (Q5235458) (← links)
- LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS (Q5411991) (← links)
- FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING (Q5745192) (← links)
- BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS (Q5854317) (← links)
- A solution to the multidimensionality in option pricing (Q6541097) (← links)
- Closed-form approximations for spread options in Lévy markets (Q6574591) (← links)