Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model (Q4689916)
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scientific article; zbMATH DE number 6959394
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model |
scientific article; zbMATH DE number 6959394 |
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Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model (English)
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22 October 2018
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basket option
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implied correlation
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one-factor Lévy model
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variance-gamma
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