"Moment matching approximation of Asian basket option prices."

Griselda Deelstra, Ibrahima Diallo, Michèle Vanmaele (2010)

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DOI: 10.1016/J.CAM.2009.03.004

access: open

type: Journal Article

metadata version: 2021-02-16

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Griselda Deelstra, Ibrahima Diallo, Michèle Vanmaele:
Moment matching approximation of Asian basket option prices. J. Comput. Appl. Math. 234(4): 1006-1016 (2010)

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