A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
| Year of publication: |
2006
|
|---|---|
| Authors: | Li, Xun ; Wu, Zhenyu |
| Published in: |
Annals of Finance. - Springer. - Vol. 2.2006, 2, p. 179-205
|
| Publisher: |
Springer |
| Subject: | High-dimensional options | Maximum | Minimum | Mean-reverting | Stochastic volatility |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005542198