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

Author

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  • Xun Li

    ()

  • Zhenyu Wu

    ()

Abstract

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Suggested Citation

  • 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.
  • Handle: RePEc:kap:annfin:v:2:y:2006:i:2:p:179-205
    DOI: 10.1007/s10436-005-0034-7
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    File URL: http://hdl.handle.net/10.1007/s10436-005-0034-7
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    Citations

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    Cited by:

    1. Jin, Xing & Li, Xun & Tan, Hwee Huat & Wu, Zhenyu, 2013. "A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction," European Journal of Operational Research, Elsevier, vol. 231(2), pages 362-370.

    More about this item

    Keywords

    High-dimensional options; Maximum; Minimum; Mean-reverting; Stochastic volatility; C63; G12;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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