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- W2161232226 abstract "We consider an important class of derivative contracts written on multiple assets (so-called spread options) which are traded on a wide range of financial markets. The present paper introduces a new approximation method of density functions arising in high-dimensional basket options which is based on applications of generalised Nyquist-Whitakker-Kotel'nikov-Shannon theorem we established. It is shown that the method of approximation we propose has an exponential rate of convergence in various situations." @default.
- W2161232226 created "2016-06-24" @default.
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- W2161232226 date "2013-09-18" @default.
- W2161232226 modified "2023-09-27" @default.
- W2161232226 title "Density functions in high-dimensional basket options" @default.
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