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

DOI10.1016/J.CAM.2015.06.027zbMath1320.91148OpenAlexW1603290232MaRDI QIDQ495066

Kenichiro Shiraya, Akihiko Takahashi

Publication date: 9 September 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.06.027

zbMATH Keywords

asymptotic expansionstochastic volatilityapproximation formulalocal volatilitybasket optionjump diffusion model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Lower bound approximation of nonlinear basket option with jump-diffusion ⋮ Asymptotic Expansion Approach in Finance ⋮ A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance ⋮ Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS

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