Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model

DOI10.1007/978-3-319-33446-2_16zbMath1398.91605OpenAlexW3122325944MaRDI QIDQ4689916

Wim Schoutens, Daniël Linders

Publication date: 22 October 2018

Published in: Innovations in Derivatives Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-33446-2_16

zbMATH Keywords

basket optionvariance-gammaimplied correlationone-factor Lévy model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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