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Presentation . 2022
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Other literature type . 2022
License: CC BY
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ZENODO
Presentation . 2022
License: CC BY
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Asian Basket Options with Individually Capped Returns

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 22 Dec 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.7474285 , 10.5281/zenodo.7474284

Asian Basket Options with Individually Capped Returns

Abstract

A model is presented for pricing Asian basket options with individually capped returns. Crude Monte Carlo method is employed to value the derivatives. Each asset return is capped with a rate. Volatility smile is utilized in the calculation.

https://ia904700.us.archive.org/14/items/bondAmericanOption/bondAmericanOption.pdf

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Asian Basket Options with Individually Capped Returns

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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