On an approximation method for pricing a high-dimensional basket options on assets with mean-reverting prices
Xun Li; Zhenyu Wu
| Year of publication: |
2008
|
|---|---|
| Authors: | Li, Xun ; Wu, Zhenyu |
| Published in: |
Computers & operations research : and their applications to problems of world concern ; an international journal. - Oxford [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 194012-0. - Vol. 35.2008, 1, p. 76-89
|
| Subject: | Optionspreistheorie | Option pricing theory | Mean Reversion | Mean reversion | Computerunterstützung | Computerized method | Iteratives Verfahren | Approximation method | Theorie | Theory |
| 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/10003665818