Pricing and hedging basket options with exact moment matching (Q343968): Difference between revisions

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+Approximated moment-matching dynamics for basket-options pricing
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+An extended set of risk neutral valuation relationships for the pricing of contingent claims
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+Financial Modelling with Jump Processes
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+Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
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+Moment matching approximation of Asian basket option prices
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+Pricing of arithmetic basket options by conditioning.
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+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
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+Static-arbitrage optimal subreplicating strategies for basket options
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+Static-arbitrage upper bounds for the prices of basket options
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+A Fourier Transform Method for Spread Option Pricing
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+Gram-Charlier densities.
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+Efficient basket Monte Carlo option pricing via a simple analytical approximation
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+Sharp Upper and Lower Bounds for Basket Options
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+HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING
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+Multi-asset spread option pricing and hedging
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+Option pricing when underlying stock returns are discontinuous
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+A general closed form option pricing formula
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+Efficient Monte Carlo pricing of European options using mean value control variates
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+Stochastic calculus for finance. II: Continuous-time models.
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+Closed-form valuations of basket options using a multivariate normal inverse Gaussian model
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+Approximate basket options valuation for a jump-diffusion model
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