Jean-Yves Datey

Commission scolaire de Montréal (CSDM)

3737, rue Sherbrooke Est

Montréal, Québec H1X 3B3

Canada

SCHOLARLY PAPERS

1

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19

SSRN CITATIONS

0

CROSSREF CITATIONS

5

Scholarly Papers (1)

1.

The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices

Multinational Finance Journal, Vol. 7, No. 1/2, p. 55-82, 2003
Number of pages: 27 Posted: 07 Jul 2015
Jean-Yves Datey, Geneviève Gauthier and Jean-Guy Simonato
Commission scolaire de Montréal (CSDM), HEC Montreal and HEC Montréal
Downloads 19 (543,423)

Abstract:

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analytical approximation; Asian option; basket option; option pricing; quanto option