On the Probability Density Function of Baskets
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Publication:4560341
DOI10.1007/978-3-319-11605-1_16zbMath1418.91502arXiv1306.2793OpenAlexW1549605701MaRDI QIDQ4560341
Peter Laurence, Peter K. Friz, Christian Bayer
Publication date: 11 December 2018
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.2793
Related Items (5)
A new concept of reliability system and applications in finance ⋮ Smoothing the payoff for efficient computation of Basket option prices ⋮ Small-Time Asymptotics for Basket Options---the Bivariate SABR Model and the Hyperbolic Heat Kernel on $\mathbb{H}^3$ ⋮ Local Volatility, Conditioned Diffusions, and Varadhan's Formula ⋮ Reconstructing volatility: Pricing of index options under rough volatility
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