Basket options valuation for a local volatility jump–diffusion model with the asymptotic expansion method
| Year of publication: |
2010
|
|---|---|
| Authors: | Xu, Guoping ; Zheng, Harry |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : North Holland Publ. Co, ISSN 0167-6687, ZDB-ID 8864x. - Vol. 47.2010, 3, p. 415-423
|