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General closed-form basket option pricing bounds - MaRDI portal

General closed-form basket option pricing bounds (Q5001150)

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scientific article; zbMATH DE number 7372417
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English
General closed-form basket option pricing bounds
scientific article; zbMATH DE number 7372417

    Statements

    title
    General closed-form basket option pricing bounds (English)
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    author
    Ruggero Caldana
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    Gianluca Fusai
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    Alessandro Gnoatto
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    Martino Grasselli
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    publication date
    16 July 2021
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    zbMATH Keywords
    basket option
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    option pricing
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    Fourier inversion
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    control variate
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    cites work
    Riding on the smiles
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    Q4942767
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    Q4073083
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    Q4704020
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60J74
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    91G60
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    zbMATH DE Number
    7372417
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    OpenAlex ID
    W3123854250
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