Series III: Basket Options, 1993-2005, inclusive
Zou, J.; A New Metric for Valuing and Ranking Equity Options: Strike-Adjusted Spread - Applications to Basket Options, Undated
box: 4, folder: 57 (Material Type: Text)
Zhang, P.; Chapter 27 of book, Basket Options, Undated
box: 4, folder: 58 (Material Type: Text)
Wilmott, P.; Ch. 11.4 in "Derivatives," Options on Many Underlyings, Undated
box: 4, folder: 59 (Material Type: Text)
Ware & Lari-Lavassani, Algorithms for Portfolio Options, 2000-09-13
box: 4, folder: 60 (Material Type: Text)
Wan, Henry; Pricing American-style Basket Options by Implied Binomial Tree, 2002-03
box: 4, folder: 61 (Material Type: Text)
Valdez & Dhaene, Bounds for Sums of Non-Independent Log-Elliptical Random Variables, 2003-05-25
box: 4, folder: 62 (Material Type: Text)
Nelken, I.; Ch. in "Pricing, Hedging & Trading Exotic Options" called Basket Options, Undated
box: 4, folder: 63 (Material Type: Text)
Naus, J.I.; The Distribution of the Logarithm of the Sum of Two Log-normal Variates, Undated
box: 4, folder: 64 (Material Type: Text)
Li & Zhang, ML Working Paper '97, Hurdles Removed, 1996-10-17
box: 4, folder: 65 (Material Type: Text)
Laurence & Wang, Sharp Distribution Free Bounds and Optimal Hedge Ratios for Basket Options, 2003-08-13
box: 4, folder: 66 (Material Type: Text)
Janson & Tysk, Properties of Options on Several Underlying Assets: Extended Summary, 2001-11-30
box: 4, folder: 67 (Material Type: Text)
Huynh, C. B.; Back to Baskets, Risk '98, Undated
box: 4, folder: 68 (Material Type: Text)
Bhansali, R.; Baskets and the Edgeworth Expansion, Undated
box: 4, folder: 69 (Material Type: Text)
Laurence & Wang, Sharp Upper and Lower Bounds for Basket Options, 2003-09-09
box: 4, folder: 70 (Material Type: Text)
Laurence & Wang, Valuing and Hedging Basket Options without Distributional Assumptions, 2003-06-01
box: 4, folder: 71 (Material Type: Text)
Lee, Wang & Karim; Index Volatility Surface via Moment-Matching Techniques, 2003-12
box: 4, folder: 72 (Material Type: Text)
Mitchell, R.; Permanence of the Log-Normal Distribution, Journal of the Optical Society of America 58 (1988)1267, 1999-05-14
box: 4, folder: 73 (Material Type: Text)
Musiela & Rutkowski, "Basket Options" in Martingale Methods in Financial Modelling, Undated
box: 4, folder: 74 (Material Type: Text)
Ouertani, N.; Basket Options on Heterogenous Underlying Assets, 2003-04
box: 4, folder: 75 (Material Type: Text)
Ravindran, K.; "The Basket Option Contract" chapter in Customized Derivatives, Undated
box: 4, folder: 76 (Material Type: Text)
Romeo, Da Costa & Bardou; Broad Distribution Effects in Sums of Lognormal Random Variables, 2002-11-14
box: 4, folder: 77 (Material Type: Text)
Safak, Aysel; Statistical Analysis of the Power Sum of Multiple Correlated Log-Normal Components, IEEE Transactions, 2003-02
box: 4, folder: 78 (Material Type: Text)
Schwartz & Yeh, On the Distribution Function and Moments of Power Sums with Log-Normal Components, Bell System Technical Journal, Undated
box: 4, folder: 79 (Material Type: Text)
Laurence & Wang, Valuing and Hedging Basket Options without Distributional Assumptions, 2003-06-07
box: 4, folder: 80 (Material Type: Text)
Laurence & Stredulinsky, A Comparison Principle for an American Option on Several Assets: Index and Spread Options, 2000-11
box: 4, folder: 81 (Material Type: Text)
Lamberton & Lapeyre, Hedging Index Options with Few Assets, Mathematical Finance, 1993-01
box: 4, folder: 82 (Material Type: Text)
Hat, H.; Ch. 4: Index-Linked Cash Flows, Undated
box: 4, folder: 83 (Material Type: Text)
Ju, N.; Pricing Asian and Basket Options via Taylor Expansion of the Underlying Volatility, 2000-09-14
box: 4, folder: 84 (Material Type: Text)
Jonasz, Miroslaw & Fournie, George; Correction to 41(1996)774 (Jun 96), Limnology & Oceanography (1996)1814, Undated
box: 4, folder: 85 (Material Type: Text)
Jonasz & Fournier, Approximation of the Size Distribution of Marine Particles by a Sum of Log-Normal Functions, Limnol. Oceanogr., 1996
box: 4, folder: 86 (Material Type: Text)
Hobson, Laurence & Wang, Static-Arbitrage Upper Bounds for the Prices of Basket Options, 2004-06-03-2005-02-18, inclusive
box: 4, folder: 87 (Material Type: Text)
Hamdan, M. A.; The Logarithm of the Sum of Two Correlated Log-Normal Variates, Journal of the American Statistical Association, 1971-03
box: 4, folder: 88 (Material Type: Text)
Grannis, Scott; An Idea Whose Time Has Come, Risk Magazine, Undated
box: 4, folder: 89 (Material Type: Text)
Gentle, David; Basket Weaving, Risk, 1993-06
box: 4, folder: 90 (Material Type: Text)
Fenton, L.; The Sum of Log-Normal Probability Distributions in Scatter Transmission Systems, IRE Transactions, Undated
box: 4, folder: 91 (Material Type: Text)
Falloon, W.; Basket Cases, Risk Magazine, 1998-03
box: 4, folder: 92 (Material Type: Text)
Deelstra, Liinev & Van Maele; Applied Probability Trust, 2002-11-15
box: 4, folder: 93 (Material Type: Text)
Dahl & Benth, Valuation of Asian Basket Options with Quasi-Monte Carlo Techniques and Singular Value Decomposition, 2001-01
box: 4, folder: 94 (Material Type: Text)
Curran, M.; Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price, Kidder, 1993-05-02
box: 4, folder: 95 (Material Type: Text)
d'Aspremont, A.; A Harmonic Analysis Solution to the Static Basket Arbitrage Problem, 2003-09-02
box: 4, folder: 96 (Material Type: Text)
Castellacci & Siclari, A Framework for Valuing Exotic Asian and Basket Options, 2001-10-10
box: 4, folder: 97 (Material Type: Text)
Beaulieu, Abu-Dayya & McLane; Estimating the Distribution of a Sum of Independent Lognormal Random Variables, IEEE Transactions, Undated
box: 4, folder: 98 (Material Type: Text)
Bos & Ware, Solving Multi-Asset Black-Scholes with Time Dependent Volatility, 2000-02-11
box: 4, folder: 99 (Material Type: Text)
Barakat, R.; Sums of Independent Lognormally Distributed Random Variables, Journal of the Optical Society of America, 1976
box: 4, folder: 100 (Material Type: Text)
Ashraff, Tarczan & Wu; Safe Crossing, Risk, 1995-07
box: 4, folder: 101 (Material Type: Text)
Basket Option, Mtgs/Email at Morgan Stanley, 1998-06-26-1998-09-29, inclusive
box: 4, folder: 102 (Material Type: Text)
Brigo, Mercurio, Rapisarda & Scotti; Approximated Moment-Matching Dynamics for Basket-Options Simulation, 2002-10-23
box: 4, folder: 103 (Material Type: Text)
Avellaneda, Boyer-Olson, Busca & Friz; Reconstructing Volatility, Risk, 2002-10
box: 4, folder: 104 (Material Type: Text)
Using Bessel Squared Process, Undated
box: 4, folder: 105 (Material Type: Text)
Imagine Guide Discussion of Basket Securities, Undated
box: 4, folder: 106 (Material Type: Text)
Book Discussions, Undated
box: 4, folder: 107 (Material Type: Text)
Sum of 2 Lognormals, 2000-12-15
box: 4, folder: 108 (Material Type: Text)
Book of American FX Basket Options, 1999-08-28
box: 4, folder: 109 (Material Type: Text)
Basket Options in EFP, 1999-03-09
box: 4, folder: 110 (Material Type: Text)
