"An approximation formula for basket option prices under local stochastic ..."

Kenichiro Shiraya, Akihiko Takahashi (2016)

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DOI: 10.1016/J.CAM.2015.06.027

access: open

type: Journal Article

metadata version: 2021-02-16

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Kenichiro Shiraya, Akihiko Takahashi:
An approximation formula for basket option prices under local stochastic volatility with jumps: An application to commodity markets. J. Comput. Appl. Math. 292: 230-256 (2016)

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