Computational Efficiency and Accuracy in the Valuation of Basket Options
Year of publication: |
2009
|
---|---|
Authors: | Wang, Pengguo |
Published in: |
Frontiers in Finance and Economics. - SKEMA Business School, ISSN 1814-2044. - Vol. 6.2009, 1, p. 1-25
|
Publisher: |
SKEMA Business School |
Subject: | Basket option | Bermudan option | mispricing | lognormal | simulation |
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