An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options
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References listed on IDEAS
- Milevsky, Moshe Arye & Posner, Steven E., 1998. "Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(03), pages 409-422, September.
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KeywordsWiener-Ito chaos expansion; local volatility; average option; basket option; spread option; Asian basket option;
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