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Option
Regression-Based Monte Carlo for Pricing High-Dimensional American-Style Options
Full Paper
FX BASKET OPTIONS - Approximation and Smile Prices -
Pricing of Arithmetic Basket Options by Conditioning 3 Sometimes to Poor Results
A Stochastic and Local Volatility Pricing Framework
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Local Volatility FX Basket Option on CPU and GPU
Valuation of American Basket Options Using Quasi-Monte Carlo Methods
Basket Options and Implied Correlations: a Closed Form Approach
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Spread and Basket Option Pricing: an Application to Interconnected Power Markets
The Pricing of Basket Options: a Weak Convergence Approach
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General Closed-Form Basket Option Pricing Bounds Ruggero Caldana
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Commodity Option Pricing Is a Must-Read for Option Traders, Risk Managers and Quantita- Tive Analysts
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Pricing Basket Options with Smile
Numerical Methods for Pricing Multi-Asset Options by Yuwei Chen
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Asymptotics Beats Monte Carlo: the Case of Correlated Local Vol Baskets
FX BASKET OPTIONS - Approximation and Smile Prices -
Pricing of Path-Dependent Basket Options Using a Copula Approach
Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model
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On the Calibration of the SABR–Libor Market Model Correlations
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Numerical Methods for Pricing Basket Options
Optimal Proxy-Hedging of Options on Illiquid Baskets