Approximated moment-matching dynamics for basket-options pricing

Damiano Brigo, F Mercurio, F Rapisarda, R Scotti

Research output: Contribution to journal › Article › peer-review

34 Citations (Scopus)

Cite this

@article{c2d20659695e4ae2a8bfc6bec03a7d8e,

title = "Approximated moment-matching dynamics for basket-options pricing",

author = "Damiano Brigo and F Mercurio and F Rapisarda and R Scotti",

year = "2003",

language = "English",

volume = "4",

pages = "1 -- 16",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Taylor and Francis Ltd.",

}