Valuing Exotic Derivatives with Jump Diffusions: The Case of Basket Options

2004 ◽  
Author(s):  
Dimitris Flamouris ◽  
Daniel Giamouridis
Keyword(s):  
Jump Diffusions ◽  
Basket Options

Feynman–Kac for functional jump diffusions with an application to Credit Value Adjustment

2015 ◽  
Vol 105 ◽  
pp. 120-129 ◽  
Author(s):  
E. Kromer ◽  
L. Overbeck ◽  
J.A.L. Röder
Keyword(s):  
Jump Diffusions

scholarly journals Pricing of basket options using univariate normal inverse Gaussian approximations

2010 ◽  
Vol 30 (3) ◽  
pp. 355-376 ◽  
Author(s):  
Fred Espen Benth ◽  
Pål Nicolai Henriksen
Keyword(s):  
Inverse Gaussian ◽  
Basket Options ◽  
Normal Inverse Gaussian
Sign in / Sign up

Export Citation Format

Share Document