Options on Multiple Assets in a Mean-Reverting Model
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References listed on IDEAS
- Mark Broadie & Jérôme Detemple, 1997. "The Valuation of American Options on Multiple Assets," Mathematical Finance, Wiley Blackwell, vol. 7(3), pages 241-286.
- Tristan Guillaume, 2008. "Making the best of best-of," Review of Derivatives Research, Springer, vol. 11(1), pages 1-39, March.
- Stephane Villeneuve, 1999. "Exercise regions of American options on several assets," Finance and Stochastics, Springer, vol. 3(3), pages 295-322.
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KeywordsAmerican options on multiple assets; Optimal stopping; Mean-reverting model;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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