The Effect of Correlation and Transaction Costs on the Pricing of Basket Options (Q5363116)
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scientific article; zbMATH DE number 6786430
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Effect of Correlation and Transaction Costs on the Pricing of Basket Options |
scientific article; zbMATH DE number 6786430 |
Statements
The Effect of Correlation and Transaction Costs on the Pricing of Basket Options (English)
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5 October 2017
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option pricing
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transaction costs
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stochastic control
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perturbation analysis
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Legendre transformation
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numerical multiple integration
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