American-type basket option pricing: a simple two-dimensional partial differential equation

DOI10.1080/14697688.2019.1588987zbMath1422.91764OpenAlexW2936665752WikidataQ115295385 ScholiaQ115295385MaRDI QIDQ5235458

Daniël Linders, Hamza Hanbali

Publication date: 11 October 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/648656

zbMATH Keywords

finite difference methodpartial differential equationscomonotonicityBlack-Scholesbasket optionsleast-squares Monte Carlopricing and hedging

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items

Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables

Uses Software

• R
• MASS (R)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A mixed derivative terms removing method in multi-asset option pricing problems
• Stochastic covariance and dimension reduction in the pricing of basket options
• On an optimization problem related to static super-replicating strategies
• Martingale methods in financial modelling.
• Numerical solution of two asset jump diffusion models for option valuation
• Static super-replicating strategies for a class of exotic options
• Bounds for Asian basket options
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Pricing of arithmetic basket options by conditioning.
• An easy computable upper bound for the price of an arithmetic Asian option
• ADI schemes for higher-order nonlinear diffusion equations.
• Comonotonic asset prices in arbitrage-free markets
• Default probabilities of a holding company, with complete and partial information
• The multivariate Black & Scholes market: conditions for completeness and no-arbitrage
• High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions
• Statistical Analysis of Financial Data in S-Plus
• ADI Schemes for Pricing American Options under the Heston Model
• General closed-form basket option pricing bounds
• The multivariate Variance Gamma model: basket option pricing and calibration
• Pricing and hedging American-style options: a simple simulation-based approach
• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
• Arbitrage Theory in Continuous Time
• Upper and lower bounds for sums of random variables