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

DOI10.1016/j.insmatheco.2010.08.008zbMath1231.91451arXiv1003.1848OpenAlexW3124599709MaRDI QIDQ661267

Harry Zheng, Guoping Xu

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.1848

zbMATH Keywords

asymptotic expansiondiffusion modelbasket options pricingforward PIDElocal volatility jump

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Integro-partial differential equations (35R09)

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Cites Work

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• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• The value of an Asian option
• Option pricing when underlying stock returns are discontinuous
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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