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math.ST2014
Pricing of basket options II
Alexander Kushpel
We consider the problem of approximation of density functions which is important in the theory of pricing of basket options. Our method is well adopted to the multidimensional case…
q-fin.CP2014★ 1 cited
Pricing of basket options I
Alexander Kushpel
Pricing of high-dimensional options is a deep problem of the Theoretical Financial Mathematics. In this article we present a new class of Lévy driven models of stock markets. In ou…