A Closed Form Approach to Valuing General Basket Options
碩士 === 國立臺北大學 === 統計學系 === 99 === The concept of general basket options was proposed by Borovkova, Permana and Weide (BPW) in 2007. BPW extended the definition of a basket by allowing weights to be negative.The difficulty in pricing general basket options stems from the fact that the distributio...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/45525585578510303800 |