An Algorithm for Computing Values of Options on the Maximum or Minimum of Several Assets
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 25 (1990)
Issue (Month): 02 (June)
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- Tristan Guillaume, 2008. "Making the best of best-of," Review of Derivatives Research, Springer, vol. 11(1), pages 1-39, March.
- Rosella Castellano & Roy Cerqueti, 2010. "Roots and Effects of Investments' Misperception," Working Papers 62-2010, Macerata University, Department of Finance and Economic Sciences, revised Dec 2010.
- Xun Li & Zhenyu Wu, 2006. "A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets," Annals of Finance, Springer, vol. 2(2), pages 179-205, March.
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