Approximated moment-matching dynamics for basket-options pricing

Quantitative Finance

Volumn 4, Issue 1, 2004, Pages 1-16

  Brigo, Damiano ^a   Mercurio, Fabio ^a   Rapisarda, Francesco ^a   Scotti, Rita ^b  

^a Intesa Sanpaolo SpA   (Italy)

^b Direzione Generale   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0842316458     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1088/1469-7688/4/1/001     Document Type: Article

References (17)

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5. Brigo D, Mercurio F, Rapisarda F and Scotti R 2001 Approximated moment-matching dynamics for basket-options simulation Internal Report Banca IMI. Downloadable at http://www.damianobrigo.it, http://www.fabiomercurio.it, http://it.geocities.com/rapix/frames.html
6. Brigo D, Mercurio F and Rapisarda F 2002 An alternative correlated dynamics for multivariate option pricing Working Paper Presented by F Rapisarda at the 2nd World Congr. of the Bachelier Finance Society (Crete, June, 2002)
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