Multi-Asset Option Pricing with Exponential L\'evy Processes and the Mellin Transform
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References listed on IDEAS
- Kim, In Joon, 1990. "The Analytic Valuation of American Options," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 547-572.
- Peter Carr & Robert Jarrow & Ravi Myneni, 2008.
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- Jean-Philippe Aguilar & Cyril Coste & Hagen Kleinert & Jan Korbel, 2016. "Distributional Mellin calculus in $\mathbb{C}^n$, with applications to option pricing," Papers 1611.03239, arXiv.org, revised Nov 2016.
- Leila Khodayari & Mojtaba Ranjbar, 2017. "A Numerical Method to Approximate Multi-Asset Option Pricing Under Exponential Lévy Model," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 189-205, August.
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