Application of large deviation methods to the pricing of index options in finance

Comptes Rendus Mathematique

Volumn 336, Issue 3, 2003, Pages 263-266

  Avellaneda, Marco ^a   Boyer Olson, Dash ^a   Busca, Jérôme ^b   Friz, Peter ^a  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITÉ PARIS DAUPHINE   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0037715212     PISSN: 1631073X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1631-073X(03)00032-3     Document Type: Article

References (11)

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9. J. Lim, Pricing and hedging options on baskets of stocks, Ph.D. Thesis, NYU, 2002.
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11. S.R.S. Varadhan, On the behaviour of the fundamental solution of the heat equation with variable coefficients, Comm. Pure Appl. Math. 20 (1967).