The pricing of basket options: a weak convergence approach

DOI10.1016/J.ORL.2017.01.007MaRDI QIDQ1728166zbMATHOpenAlexFDO

Authors Lijun Bo, Yongjin Wang

Publication date 22 February 2019

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2017.01.007

zbMATH Keywords

jump diffusionweak convergencebasket options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• A jump to default extended CEV model: an application of Bessel processes
• Bilateral credit valuation adjustment for large credit derivatives portfolios
• Default clustering in large portfolios: typical events
• LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
• Large portfolio asymptotics for loss from default
• On first passage times of a hyper-exponential jump diffusion process
• Pricing and hedging of quantile options in a flexible jump diffusion model
• Systemic risk in interbanking networks

Cited in

(8)

• An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
• scientific article; zbMATH DE number 6719041 (Why is no real title available?)
• Markov chain approximation and measure change for time-inhomogeneous stochastic processes
• Pricing of arithmetic basket options by conditioning.
• Static-arbitrage upper bounds for the prices of basket options
• Smoothing the payoff for efficient computation of Basket option prices
• The pricing of basket options with default risk
• Weak convergence for approximation of American option prices

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