Pricing and hedging Asian basket spread options
Under an Elsevier user license
open archive
MSC
91G20
Keywords
Asian basket spread option
Non-comonotonic sum
Moment matching
Shifted log-extended skew normal law
Cited by (0)
- 1
This research was carried out while this author was an aspirant FNRS.
Copyright © 2009 Elsevier B.V. All rights reserved.