On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices

10.1016/j.cor.2006.02.020

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Bibliographic Details
Main Authors: Li, X., Wu, Z.
Other Authors: MATHEMATICS
Format: Article
Published: 2014
Subjects:
Online Access:http://scholarbank.nus.edu.sg/handle/10635/103680
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Institution: National University of Singapore