Making the best of best-of

DOI10.1007/S11147-008-9022-1zbMath1163.91400OpenAlexW2069230866MaRDI QIDQ1025611

Tristan Guillaume

Publication date: 19 June 2009

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-008-9022-1

zbMATH Keywords

dimensionmultivariate normal distributionbest-of optionmultiasset optionoption on the maximum or the minimumrainbow option

Mathematics Subject Classification ID

Related Items (2)

Pricing two-asset rainbow options with the fast Fourier transform ⋮ On the multidimensional Black-Scholes partial differential equation

Uses Software

• Unnamed Item
• Unnamed Item
• QSIMVN

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Cuba -- a library for multidimensional numerical integration
• Martingales and stochastic integrals in the theory of continuous trading
• Mean-variance hedging for general claims
• The multivariate normal distribution
• The valuation of American call options on the minimum of two dividend-paying assets
• Quantile hedging
• Option pricing when correlations are stochastic: an analytical framework
• Tables for Computing Bivariate Normal Probabilities
• Algorithm 698: DCUHRE
• Changes of numéraire, changes of probability measure and option pricing
• Pricing Interest-Rate-Derivative Securities
• Option pricing when underlying stock returns are discontinuous
• The Greatest of a Finite Set of Random Variables

This page was built for publication: Making the best of best-of