A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets (Q665717)
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scientific article; zbMATH DE number 6012300
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets |
scientific article; zbMATH DE number 6012300 |
Statements
A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets (English)
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6 March 2012
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high-dimensional options
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maximum
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minimum
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mean-reverting
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stochastic volatility
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0.9026501
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0.8895169
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0.8814865
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0.87049115
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0.8680261
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0.86791694
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0.86767924
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