Pricing and hedging basket options with exact moment matching
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More about this item
KeywordsDisplaced log-normal jump–diffusion process; Hermite polynomials; Moment matching; Quasi-analytical pricing; Basket options;
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G19 - Financial Economics - - General Financial Markets - - - Other
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