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Options on Baskets

By Richard Braun, David A. Edwards, Donald French, Dale Larson, Jason Mahar, Todd Peterson, Gilberto Schleiniger, Fabricio Tourrucoo and Shangyou Zhang


The aim is to devise fast, accurate methods to determine the value if options on baskets as well as the correct associated hedges. The method employed is a perturbation procedure based on a small volatility assumption

Topics: Finance
Year: 2000
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