Pricing Arithmetic Average Basket Options
碩士 === 國立臺灣大學 === 財務金融學研究所 === 94 === Basket option is an option whose payoff depends on the value of a portfolio of underlying assets. Basket option is challenging to price using conventional methods since the weighted sum of lognormal random variables is no longer lognormally distributed. American...
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| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/35845112881488452953 |