Pricing and hedging basket options with exact moment matching (Q343968)
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scientific article; zbMATH DE number 6654898
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and hedging basket options with exact moment matching |
scientific article; zbMATH DE number 6654898 |
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Pricing and hedging basket options with exact moment matching (English)
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21 November 2016
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displaced log-normal jump-diffusion process
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Hermite polynomials
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moment matching
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quasi-analytical pricing
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basket options
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