A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
Year of publication: |
2006
|
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Authors: | Li, Xun ; Wu, Zhenyu |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 2.2006, 2, p. 179-205
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Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory |
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