Abstract
We cover the pricing of path-independent derivatives such that the payoff at a given time T depends on the values of several underlyings F 1, F 2, …, F n . The general case of path-dependent higher-dimensional derivatives can be handled by combining the methods of this chapter with those in Chap. 9.
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© 2011 Springer-Verlag Berlin Heidelberg
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Ekstrand, C. (2011). High-Dimensional Derivatives. In: Financial Derivatives Modeling. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-22155-2_10
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DOI: https://doi.org/10.1007/978-3-642-22155-2_10
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-22154-5
Online ISBN: 978-3-642-22155-2
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