A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets

Xun Li () and Zhenyu Wu ()

Annals of Finance, 2006, vol. 2, issue 2, 179-205

Keywords: High-dimensional options; Maximum; Minimum; Mean-reverting; Stochastic volatility; C63; G12 (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s10436-005-0034-7

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