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Pricing of arithmetic basket options by conditioning

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Organization
Keywords
basket option, comonotonicity, analytical bounds, moment matching, Asian basket option, Black and Scholes model, ACTUARIAL SCIENCE, ASIAN OPTION, COMONOTONICITY, FINANCE

Citation

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Chicago
Deelstra, Griselda, Jan Liinev, and Michèle Vanmaele. 2004. “Pricing of Arithmetic Basket Options by Conditioning.” Insurance Mathematics & Economics 34 (1): 55–77.
APA
Deelstra, G., Liinev, J., & Vanmaele, M. (2004). Pricing of arithmetic basket options by conditioning. INSURANCE MATHEMATICS & ECONOMICS, 34(1), 55–77.
Vancouver
1.
Deelstra G, Liinev J, Vanmaele M. Pricing of arithmetic basket options by conditioning. INSURANCE MATHEMATICS & ECONOMICS. 2004;34(1):55–77.
MLA
Deelstra, Griselda, Jan Liinev, and Michèle Vanmaele. “Pricing of Arithmetic Basket Options by Conditioning.” INSURANCE MATHEMATICS & ECONOMICS 34.1 (2004): 55–77. Print.
@article{214573,
  author       = {Deelstra, Griselda and Liinev, Jan and Vanmaele, Mich{\`e}le},
  issn         = {0167-6687},
  journal      = {INSURANCE MATHEMATICS \& ECONOMICS},
  keyword      = {basket option,comonotonicity,analytical bounds,moment matching,Asian basket option,Black and Scholes model,ACTUARIAL SCIENCE,ASIAN OPTION,COMONOTONICITY,FINANCE},
  language     = {eng},
  number       = {1},
  pages        = {55--77},
  title        = {Pricing of arithmetic basket options by conditioning},
  url          = {http://dx.doi.org/10.1016/j.insmatheco.2003.11.002},
  volume       = {34},
  year         = {2004},
}

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