An extension of the chaos expansion approximation for the pricing of exotic basket options
Hideharu Funahashi & Masaaki Kijima
| Year of publication: |
2014
|
|---|---|
| Authors: | Funahashi, Hideharu ; Kijima, Masaaki |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 1/2, p. 109-139
|
| Subject: | Wiener-Ito chaos expansion | local volatility | average option | basket option | spread option | Asian basket option | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility | Chaostheorie | Chaos theory | Derivat | Derivative | Black-Scholes-Modell | Black-Scholes model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010352010