An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets (Q495066): Difference between revisions

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English	An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets	scientific article

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scholarly article

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title

An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets (English)

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Journal of Computational and Applied Mathematics

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publication date

9 September 2015

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zbMATH Keywords

basket option

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jump diffusion model

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stochastic volatility

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local volatility

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asymptotic expansion

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approximation formula

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1016/j.cam.2015.06.027

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cites work

Approximated moment-matching dynamics for basket-options pricing

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Pricing of arithmetic basket options by conditioning.

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An asymptotic expansion approach to pricing financial contingent claims

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Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets

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Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method

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LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS

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The value of an Asian option

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The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims

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LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS

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Q4038332

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ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME

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Perturbative expansion technique for non-linear FBSDEs with interacting particle method

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Q5486566

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A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS

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A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD

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Identifiers

zbMATH Open document ID

1320.91148

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Mathematics Subject Classification ID

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10.1016/J.CAM.2015.06.027

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Sitelinks

Mathematics(1 entry)

mardi Publication:495066

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-Akihiko Takahashi
@@ Property / author: Akihiko Takahashi / rank @@
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+Akihiko Takahashi
@@ Property / author: Akihiko Takahashi / rank @@
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+G20
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@@ Property / zbMATH Keywords @@
+basket option
@@ Property / zbMATH Keywords: basket option / rank @@
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@@ Property / zbMATH Keywords @@
+jump diffusion model
@@ Property / zbMATH Keywords: jump diffusion model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
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+local volatility
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+asymptotic expansion
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+approximation formula
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2015.06.027
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+W1603290232
@@ Property / OpenAlex ID: W1603290232 / rank @@
+Normal rank
@@ Property / cites work @@
+Approximated moment-matching dynamics for basket-options pricing
+Normal rank
@@ Property / cites work @@
+Pricing of arithmetic basket options by conditioning.
+Normal rank
@@ Property / cites work @@
+An asymptotic expansion approach to pricing financial contingent claims
+Normal rank
@@ Property / cites work @@
+Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets
+Normal rank
@@ Property / cites work @@
+Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
+Normal rank
@@ Property / cites work @@
+LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
+Normal rank
@@ Property / cites work @@
+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
+Normal rank
@@ Property / cites work @@
+The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
+Normal rank
@@ Property / cites work @@
+LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS
+Normal rank
@@ Property / cites work @@
+Q4038332
@@ Property / cites work: Q4038332 / rank @@
+Normal rank
@@ Property / cites work @@
+ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME
+Normal rank
@@ Property / cites work @@
+Perturbative expansion technique for non-linear FBSDEs with interacting particle method
+Normal rank
@@ Property / cites work @@
+Q5486566
@@ Property / cites work: Q5486566 / rank @@
+Normal rank
@@ Property / cites work @@
+A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
+Normal rank
@@ Property / cites work @@
+A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD
+Normal rank
@@ Property / DOI @@
+.1016/J.CAM.2015.06.027
@@ Property / DOI: 10.1016/J.CAM.2015.06.027 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:495066