Ralf Korn, Serkan Zeytun. Efficient basket Monte Carlo option pricing via a simple analytical approximation. J. Computational Applied Mathematics, 243:48-59, 2013. [doi]
@article{KornZ13,
title = {Efficient basket Monte Carlo option pricing via a simple analytical approximation},
author = {Ralf Korn and Serkan Zeytun},
year = {2013},
doi = {10.1016/j.cam.2012.10.035},
url = {http://dx.doi.org/10.1016/j.cam.2012.10.035},
researchr = {https://researchr.org/publication/KornZ13},
cites = {0},
citedby = {0},
journal = {J. Computational Applied Mathematics},
volume = {243},
pages = {48-59},
}