Braun, Richard and Edwards, David A. and French, Donald and Larson, Dale and Mahar, Jason and Peterson, Todd and Schleiniger, Gilberto and Tourrucoo, Fabricio and Zhang, Shangyou (2000) Options on Baskets. [Study Group Report]
![[img]](../style/images/fileicons/application_pdf.png)
|
PDF
1MB |
Abstract
The aim is to devise fast, accurate methods to determine the value if options on baskets as well as the correct associated hedges. The method employed is a perturbation procedure based on a small volatility assumption.
| Item Type: | Study Group Report |
|---|---|
| Problem Sectors: | Finance |
| Study Groups: | US Workshop on Mathematical Problems in Industry > 16th MPI [Delaware 5/6/2000 - 9/6/2000] |
| Company Name: | Numerix, Inc. |
| ID Code: | 258 |
| Deposited By: | Dr Kamel Bentahar |
| Deposited On: | 21 Oct 2009 18:36 |
| Last Modified: | 29 May 2015 19:52 |
Repository Staff Only: item control page
