Approximate basket options valuation for a jump-diffusion model

File(s)

Insurance Mathematics & Economics_45_2_2009.pdf (129.46 KB)

Accepted version

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Author(s)

Xu, G

Zheng, H

Type

Journal Article

Date Issued

2009-10-01

URI

http://hdl.handle.net/10044/1/18532

DOI

http://dx.doi.org/10.1016/j.insmatheco.2009.05.012

ISSN

0167-6687

Publisher

ELSEVIER SCIENCE BV

Start Page

188

End Page

194

Journal / Book Title

INSURANCE MATHEMATICS & ECONOMICS

Volume

45

Issue

2

Copyright Statement

Copyright © 2009 Elsevier Ltd. All rights reserved. NOTICE: this is the author’s version of a work that was accepted for publication in Insurance Mathematics & Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Insurance Mathematics & Economics, 45(2), 2009 DOI:10.1016/j.insmatheco.2009.05.012

License URL

http://www.rioxx.net/licenses/all-rights-reserved

Identifier

http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=000271335800005&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202

Publication Status

Published