A simple efficient approximation to price basket stock options with volatility smile (Q525204)
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scientific article; zbMATH DE number 6708894
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simple efficient approximation to price basket stock options with volatility smile |
scientific article; zbMATH DE number 6708894 |
Statements
A simple efficient approximation to price basket stock options with volatility smile (English)
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28 April 2017
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basket options
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Levy's method
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Gentle's method
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log-normal approximation
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0.9122366
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0.8831505
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0.8821088
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0.88008016
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0.8767606
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0.8730637
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0.87254566
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0.8712067
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0.87023604
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