搜索结果: 1-1 共查到“经济学 Asymptotic expansion”相关记录1条 . 查询时间(0.234 秒)
Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method
Basket options pricing local volatility jump-diffusion model forward PIDE
2010/10/19
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We deri...