Making the best of best-of
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- Masahiko Egami & Tadao Oryu, 2010. "Options on Multiple Assets in a Mean-Reverting Model," Discussion papers e-10-005, Graduate School of Economics Project Center, Kyoto University.
More about this item
KeywordsMultiasset option; Rainbow option; Best-of option; Option on the maximum or the minimum; Dimension; Multivariate normal distribution;
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