Geometric average basket option pricing

MaRDI QIDQ5198189zbMATH OpenFDO

Authors Xiangbo Meng, Yanmei Sun, Ziping Du, Lidong Zhang

Publication date 2 October 2019

zbMATH Keywords

basket optionexponential Ornstein-Uhlenbeck processmoment matching methods

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(3)

• Optimal geometric mean returns of stocks and their options
• scientific article; zbMATH DE number 5670604 (Why is no real title available?)
• Approximated moment-matching dynamics for basket-options pricing

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