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Research Article

Efficient pricing and calibration of high-dimensional basket options

Lech A. Grzelaka Financial Engineering, Rabobank, Utrecht, the Netherlands;b Mathematical Institute, Utrecht University, Utrecht, the NetherlandsCorrespondence[email protected]

Juliusz Jableckic Financial Risk Management Department, National Bank of Poland, Warsaw, Poland;d Faculty of Economic Sciences, University of Warsaw, Warsaw, Poland

Dariusz Gatareke Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

Received 01 Dec 2022, Accepted 18 Sep 2023, Published online: 05 Oct 2023

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https://doi.org/10.1080/00207160.2023.2266051
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