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Sum of all Black–Scholes–Merton models: An efficient pricing method for spread,basket, and Asian options |
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| Authors: | Jaehyuk Choi |
| Affiliation: | Peking University HSBC Business School, Shenzhen, China |
| Abstract: | |
| Keywords: | Asian option basket option curse of dimensionality multi‐asset Black– Scholes– Merton spread option |