A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets

10.1007/s10436-005-0034-7

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Bibliographic Details
Main Authors:	Li, X., Wu, Z.
Other Authors:	MATHEMATICS
Format:	Article
Published:	2014
Subjects:	High-dimensional options Maximum Mean-reverting Minimum Stochastic volatility
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/102754
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-102754
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spelling	sg-nus-scholar.10635-1027542023-10-29T21:57:09Z A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets Li, X. Wu, Z. MATHEMATICS High-dimensional options Maximum Mean-reverting Minimum Stochastic volatility 10.1007/s10436-005-0034-7 Annals of Finance 2 2 179-205 2014-10-28T02:29:19Z 2014-10-28T02:29:19Z 2006-03 Article Li, X., Wu, Z. (2006-03). A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets. Annals of Finance 2 (2) : 179-205. ScholarBank@NUS Repository. https://doi.org/10.1007/s10436-005-0034-7 16142446 http://scholarbank.nus.edu.sg/handle/10635/102754 000212323800004 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	High-dimensional options Maximum Mean-reverting Minimum Stochastic volatility
spellingShingle	High-dimensional options Maximum Mean-reverting Minimum Stochastic volatility Li, X. Wu, Z. A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
description	10.1007/s10436-005-0034-7
author2	MATHEMATICS
author_facet	MATHEMATICS Li, X. Wu, Z.
format	Article
author	Li, X. Wu, Z.
author_sort	Li, X.
title	A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
title_short	A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
title_full	A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
title_fullStr	A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
title_full_unstemmed	A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
title_sort	semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/102754
_version_	1781787632261398528

A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets

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