Approximated moment-matching dynamics for basket-options pricing
type: Item
instance of: scholarly article
title: Approximated moment-matching dynamics for basket-options pricing
zbMATH Open document ID: 1405.91592
DOI: 10.1088/1469-7688/4/1/001
author: Damiano Brigo
author: Fabio Mercurio
author: Francesco Rapisarda
author: Rita Scotti
published in: Quantitative Finance
publication date: 2019-01-15T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7002095
zbMATH Keywords: basket-options pricing
zbMATH Keywords: moment-matching dynamics
zbMATH Keywords: Kullback-Leibler information
zbMATH Keywords: Hellinger distance
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1088/1469-7688/4/1/001
OpenAlex ID: W1995350495
cites work: On some filtering problems arising in mathematical finance
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cites work: Saddlepoint approximations to option prices
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description: scientific article; zbMATH DE number 7002095