Modelling PCS options via individual indices

@inproceedings{SchmidliModellingPO,
  title={Modelling PCS options via individual indices},
  author={Hanspeter Schmidli}
}
A model for the PCS index is introduced and it is shown how to price a PCS option. It is discussed how to approximate option prices. 2000 Mathematical Subject Classification: Primary 91B24; Secondary 91B30, 91B28 

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