Pricing Basket Options by Polynomial Approximations.
Pablo OlivaresAlexander AlvarezPublished in: J. Appl. Math. (2016)
Keyphrases
- option pricing
- black scholes model
- low order
- double exponential
- closed form
- higher order
- information retrieval
- optimal pricing
- financial markets
- mechanism design
- approximation methods
- dynamic pricing
- genetic algorithm
- black scholes
- database
- computationally tractable
- pricing model
- variational methods
- stock price
- convertible bonds
- website