An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions (Q2855742)
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scientific article; zbMATH DE number 6217929
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions |
scientific article; zbMATH DE number 6217929 |
Statements
An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions (English)
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22 October 2013
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two-dimensional Fourier expansions
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modified sine-sine expansions
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rainbow options
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correlation options
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GBM model
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SV model
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