Pricing basket options by polynomial approximations (Q670300): Difference between revisions
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Revision as of 00:56, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing basket options by polynomial approximations |
scientific article |
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Pricing basket options by polynomial approximations (English)
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18 March 2019
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Summary: We propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model. The method is based on Taylor and Chebyshev expansions and involves mixed exponential-power moments of a Gaussian distribution. Our numerical results show that both approaches are comparable in accuracy to a standard Monte Carlo method, with a lesser computational effort.
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