Efficient pricing and calibration of high-dimensional basket options-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Efficient pricing and calibration of high-dimensional basket options

Published:2023-10-03 Issue: Volume: Page:1-24
ISSN:0020-7160
Container-title:International Journal of Computer Mathematics
language:en
Short-container-title:International Journal of Computer Mathematics

Author:

Grzelak Lech A.¹²,Jablecki Juliusz³⁴,Gatarek Dariusz⁵

Affiliation:

1. Financial Engineering, Rabobank, Utrecht, the Netherlands

2. Mathematical Institute, Utrecht University, Utrecht, the Netherlands

3. Financial Risk Management Department, National Bank of Poland, Warsaw, Poland

4. Faculty of Economic Sciences, University of Warsaw, Warsaw, Poland

5. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

Publisher

Informa UK Limited

Subject

Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications

Link

https://www.tandfonline.com/doi/pdf/10.1080/00207160.2023.2266051

Reference32 articles.

1. A mean-reverting SDE on correlation matrices

2. Simple and efficient simulation of the Heston stochastic volatility model

3. Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

4. Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?

5. Why is the Index Smile So Steep? *

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP