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Moment matching approximation of Asian basket option prices

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Moment matching, Log-extended-skew-normal, Sum of non-independent random variables, Asian basket option

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Chicago
Deelstra, Griselda, Ibrahima Diallo, and Michèle Vanmaele. 2010. “Moment Matching Approximation of Asian Basket Option Prices.” Journal of Computational and Applied Mathematics 234 (4): 1006–1016.
APA
Deelstra, G., Diallo, I., & Vanmaele, M. (2010). Moment matching approximation of Asian basket option prices. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 234(4), 1006–1016. Presented at the 13th International congress on Computational and Applied Mathematics.
Vancouver
1.
Deelstra G, Diallo I, Vanmaele M. Moment matching approximation of Asian basket option prices. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS. 2010;234(4):1006–16.
MLA
Deelstra, Griselda, Ibrahima Diallo, and Michèle Vanmaele. “Moment Matching Approximation of Asian Basket Option Prices.” JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 234.4 (2010): 1006–1016. Print.
@article{1245605,
  author       = {Deelstra, Griselda and Diallo, Ibrahima and Vanmaele, Mich{\`e}le},
  issn         = {0377-0427},
  journal      = {JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS},
  keyword      = {Moment matching,Log-extended-skew-normal,Sum of non-independent random variables,Asian basket option},
  language     = {eng},
  location     = {Ghent, Belgium},
  number       = {4},
  pages        = {1006--1016},
  title        = {Moment matching approximation of Asian basket option prices},
  url          = {http://dx.doi.org/10.1016/j.cam.2009.03.004},
  volume       = {234},
  year         = {2010},
}

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