## Abstract This study derives approximate valuation formulas for basket options and Asian options under the jump‐diffusion process. To obtain an approximation for options prices under the jump‐diffusion process, we extend the Taylor expansion method developed by Ju N. (2002) under the diffusion pr
✦ LIBER ✦
On pricing lookback options under the CEV process
✍ Scribed by Costabile, Massimo
- Publisher
- Springer
- Year
- 2006
- Weight
- 143 KB
- Volume
- 29
- Category
- Article
- ISSN
- 1127-1035
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