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An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options

An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options
Digital文書・図像類
Funahashi, Hideharu, Kijima, MasaakiInstitute of Economic Research, Kyoto University2013-04KIER Discussion Paper857
Available onlineOther Libraries in Japan
  • Subject Heading...cal volatility average option basket option spread option A...

Pricing Barrier and Average Options under Stochastic Volatility Environment

Pricing Barrier and Average Options under Stochastic Volatility Environment
Paper文書・図像類
Shiraya, Kenichiro, Takahashi, Akihiko, Toda, Masashi日本経済国際共同センター2010-05Discussion paper series. CIRJE-FCIRJE-F-745
Other Libraries in Japan
  • Subject Headingbarrier option average option knock-out option stochastic v...

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