Lower bound approximation of nonlinear basket option with jump-diffusion
From MaRDI portal
basket optionnonlinear stochastic differential equationsPoisson processsplit step backward Euler method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Recommendations
- LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
- Approximate basket options valuation for a jump-diffusion model
- General closed-form basket option pricing bounds
- Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
- European basket option pricing by maximizing over a subset of lower bounds
Cites work
- A nonlinear option pricing model through the Adomian decomposition method
- An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
- An asymptotic expansion approach to pricing financial contingent claims
- Approximate basket options valuation for a jump-diffusion model
- Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
- scientific article; zbMATH DE number 1373207 (Why is no real title available?)
- Implicit numerical solutions for solving stochastic differential equations with jumps
- LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
- Numerical methods for nonlinear stochastic differential equations with jumps
- Pricing and Hedging Spread Options
- Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
- The value of an Asian option
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
Cited in
(5)- On a high-order Gaussian radial basis function generated Hermite finite difference method and its application
- An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance
- LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
- Sharp Upper and Lower Bounds for Basket Options
- Approximate basket options valuation for a jump-diffusion model
This page was built for publication: Lower bound approximation of nonlinear basket option with jump-diffusion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5855718)
