Calibration of a basket option model applied to company valuation

Mathematical Methods of Operations Research

Volumn 55, Issue 2, 2002, Pages 247-263

  Wörner, Stefan ^a   Racheva Iotova, Boryana ^b   Stoyanov, Stoyan ^b  

^a FRAUNHOFER INSTITUTE FOR SYSTEMS AND INNOVATION RESEARCH ISI   (Germany)

^b Bravo Risk Management Group   (United States)

Author keywords

Basket options; Real options; Stable distributions; Valuation

Indexed keywords

EID: 0036575658     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001860200184     Document Type: Article

References (47)