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This study presents a simple but powerful approximation approach that is both accurate and computationally efficient for valuing basket options on multiple assets with mean-reverting prices. It accomplishes this by solving technical problems involved in reducing the dimensionality of basket options. The approach is readily applicable to multi-factor situations where traditional techniques do not work...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.