LiW08'

BibTeX

@article{DBLP:journals/cor/LiW08,
  author    = {Xun Li and
               Zhenyu Wu},
  title     = {On an approximation method for pricing a high-dimensional
               basket option on assets with mean-reverting prices},
  journal   = {Computers {\&} OR},
  volume    = {35},
  number    = {1},
  year      = {2008},
  pages     = {76-89},
  ee        = {http://dx.doi.org/10.1016/j.cor.2006.02.020},
  bibsource = {DBLP, http://dblp.uni-trier.de}
}