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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sg-nus-scholar.10635-1036802023-10-26T20:56:02Z On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices Li, X. Wu, Z. MATHEMATICS Approximation Basket option High-dimensional Mean-reverting 10.1016/j.cor.2006.02.020 Computers and Operations Research 35 1 76-89 CMORA 2014-10-28T02:40:04Z 2014-10-28T02:40:04Z 2008-01 Article Li, X., Wu, Z. (2008-01). On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices. Computers and Operations Research 35 (1) : 76-89. ScholarBank@NUS Repository. https://doi.org/10.1016/j.cor.2006.02.020 03050548 http://scholarbank.nus.edu.sg/handle/10635/103680 000250165500007 Scopus |
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Asia |
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Singapore Singapore |
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Approximation Basket option High-dimensional Mean-reverting |
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Approximation Basket option High-dimensional Mean-reverting Li, X. Wu, Z. On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices |
| description |
10.1016/j.cor.2006.02.020 |
| author2 |
MATHEMATICS |
| author_facet |
MATHEMATICS Li, X. Wu, Z. |
| format |
Article |
| author |
Li, X. Wu, Z. |
| author_sort |
Li, X. |
| title |
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices |
| title_short |
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices |
| title_full |
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices |
| title_fullStr |
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices |
| title_full_unstemmed |
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices |
| title_sort |
on an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices |
| publishDate |
2014 |
| url |
http://scholarbank.nus.edu.sg/handle/10635/103680 |
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1781787761441767424 |