Pricing of arithmetic basket options by conditioning
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|Date of creation:||2004|
|Date of revision:|
|Publication status:||Published in: Insurance. Mathematics & economics (2004) v.34 n° 1,p.55-77|
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- Kaas, Rob & Dhaene, Jan & Goovaerts, Marc J., 2000. "Upper and lower bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 151-168, October.
- Michael Curran, 1994. "Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price," Management Science, INFORMS, vol. 40(12), pages 1705-1711, December.
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