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Moment matching approximation of Asian basket option prices

Griselda Deelstra, Ibrahima Diallo and Michèle Vanmaele UGent (2010) JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS. 234(4). p.1006-1016
Please use this url to cite or link to this publication:
author
organization
year
type
journalArticle (proceedingsPaper)
publication status
published
subject
keyword
Moment matching, Log-extended-skew-normal, Sum of non-independent random variables, Asian basket option
journal title
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
J. Comput. Appl. Math.
volume
234
issue
4
pages
1006 - 1016
conference name
13th International congress on Computational and Applied Mathematics
conference location
Ghent, Belgium
conference start
2008-07-07
conference end
2008-07-11
Web of Science type
Article; Proceedings Paper
Web of Science id
000278172200007
JCR category
MATHEMATICS, APPLIED
JCR impact factor
1.029 (2010)
JCR rank
74/235 (2010)
JCR quartile
2 (2010)
ISSN
0377-0427
DOI
10.1016/j.cam.2009.03.004
language
English
UGent publication?
yes
classification
A1
copyright statement
I have transferred the copyright for this publication to the publisher
id
1245605
handle
http://hdl.handle.net/1854/LU-1245605
date created
2011-05-27 13:59:58
date last changed
2017-09-19 11:25:08
@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},
}

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.