## Abstract By approximating the distribution of the sum of correlated lognormals with some log‐extended‐skew‐normal distribution, we present closed‐form approximation formulae for pricing both Asian and basket options. Numerical comparison shows that our formulae provide both computational simplic
✦ LIBER ✦
Pricing and hedging Asian basket spread options
✍ Scribed by Griselda Deelstra; Alexandre Petkovic; Michèle Vanmaele
- Book ID
- 108075699
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 766 KB
- Volume
- 233
- Category
- Article
- ISSN
- 0377-0427
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