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Year of publication
Subject
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Multi-asset options 1 PDE 1 PIDE 1 basket options 1 collocation 1 meshfree approximation 1 multidimensional Lévy process 1 radial basis function 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Hanert, Emmanuel 1 Venkatramanan, Aanand 1
Institution
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Henley Business School, University of Reading 1
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ICMA Centre Discussion Papers in Finance 1
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RePEc 1
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Meshfree Approximation for Multi-Asset Options
Hanert, Emmanuel; Venkatramanan, Aanand - Henley Business School, University of Reading - 2008
We price multi-asset options by solving their price partial differential equations using a meshfree approach with radial basis functions under jump-diffusion and geometric Brownian motion frameworks. In the geometric Brownian motion framework, we propose an effective technique that breaks the...
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