An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options (Q4585895)
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scientific article; zbMATH DE number 6934617
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options |
scientific article; zbMATH DE number 6934617 |
Statements
An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options (English)
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11 September 2018
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Wiener-Ito chaos expansion
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local volatility
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average option
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basket option
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spread option
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Asian basket option
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