Analytic Formulae for Basket Options with Stochastic Volatility
碩士 === 東吳大學 === 商用數學系 === 95 === The valuation of basket options is complex since the weighted average of lognormal random variables is no longer lognormal. Moreover, as the stochastic volatility inherent in the financial asset prices are extensively observed, however, few academic works pay attent...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/02533487452718045753 |