Stochastic expansion for the pricing of Asian and basket options

By Fabien Le Floc'h

Published 2024-03-18

Everscope rating

1234.7

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Stochastic Taylor expansion. Problem types: Option Pricing, Regression.

arXiv:2402.17684 · Paper rankings

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