Pricing of basket options I
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References listed on IDEAS
- Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
- Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-186, March.
- Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007. "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper 1952, University Library of Munich, Germany.
- Li, Minqiang, 2008. "Closed-Form Approximations for Spread Option Prices and Greeks," MPRA Paper 6994, University Library of Munich, Germany.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-01-17 (All new papers)
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