Efficient pricing and calibration of high-dimensional basket options
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Publication:6625110
DOI10.1080/00207160.2023.2266051MaRDI QIDQ6625110
Dariusz Gątarek, Juliusz Jabłecki, Lech A. Grzelak
Publication date: 28 October 2024
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
General theory of stochastic processes (60G07) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)
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