Pricing of arithmetic basket options by conditioning. (Q1430672)
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scientific article; zbMATH DE number 2067443
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of arithmetic basket options by conditioning. |
scientific article; zbMATH DE number 2067443 |
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Pricing of arithmetic basket options by conditioning. (English)
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27 May 2004
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basket option
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comonotonicity
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analytical bounds
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moment matching
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Asian basket option
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Black and Scholes model
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