Pricing basket option in a multi-dimensional jump-diffusion model

MaRDI QIDQ5167704zbMATH OpenFDO

Authors Ying Jiang

Publication date 30 June 2014

zbMATH Keywords

basket optionequivalent martingale measurejump-diffusion model

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(5)

• The pricing of basket options: a weak convergence approach
• scientific article; zbMATH DE number 6719041 (Why is no real title available?)
• The research on pricing of European exchange options
• An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
• LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS

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