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- W2751015700 abstract "Multi-asset options depend on more than one underlying asset. In this chapter we shall focus on two-asset options. Assuming the Black–Scholes framework, the price evolution of two assets is given by two geometric Brownian motions that may be correlated to each other. The fair value of a European-style option is then a function of three independent real variables." @default.
- W2751015700 created "2017-09-15" @default.
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- W2751015700 date "2017-01-01" @default.
- W2751015700 modified "2023-10-18" @default.
- W2751015700 title "Two-Asset Options" @default.
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- W2751015700 doi "https://doi.org/10.1057/978-1-137-43569-9_13" @default.
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