Option pricing on multiple assets
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Publication:852003
DOI10.1007/s10440-006-9069-7zbMath1108.91038OpenAlexW2075355186MaRDI QIDQ852003
Yang Ho Choi, Thomas P. Branson
Publication date: 27 November 2006
Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10440-006-9069-7
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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- Introduction to stochastic integration.
- A Course in Financial Calculus
- The Valuation of American Options on Multiple Assets
- The Mathematics of Financial Derivatives
- CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
- Some Properties of the Eigenfunctions of The Laplace-Operator on Riemannian Manifolds
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