Moment matching approximation of Asian basket option prices
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Publication:970389
DOI10.1016/j.cam.2009.03.004zbMath1195.91155OpenAlexW1987690555MaRDI QIDQ970389
Michèle Vanmaele, Ibrahima Diallo, Griselda Deelstra
Publication date: 17 May 2010
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2009.03.004
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Related Items (6)
Intrinsic expansions for averaged diffusion processes ⋮ Pricing and hedging basket options with exact moment matching ⋮ Pricing Asian options via compound gamma and orthogonal polynomials ⋮ Control variates and conditional Monte Carlo for basket and Asian options ⋮ FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING ⋮ A moment matching approach to log-normal portfolio optimization
Uses Software
Cites Work
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- The Skew-normal Distribution and Related Multivariate Families*
- Upper and lower bounds for sums of random variables
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