Approximate basket options valuation for a jump-diffusion model (Q659118)
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scientific article; zbMATH DE number 6004633
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximate basket options valuation for a jump-diffusion model |
scientific article; zbMATH DE number 6004633 |
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Approximate basket options valuation for a jump-diffusion model (English)
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10 February 2012
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basket option pricing
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jump-diffusion model
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analytic approximation
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conditional moment matching
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