The pricing of basket options: a weak convergence approach
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Publication:1728166
DOI10.1016/J.ORL.2017.01.007zbMATH Open1409.91227OpenAlexW2581909453MaRDI QIDQ1728166FDOQ1728166
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
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Cites Work
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- Default clustering in large portfolios: typical events
- A jump to default extended CEV model: an application of Bessel processes
- On first passage times of a hyper-exponential jump diffusion process
- Bilateral credit valuation adjustment for large credit derivatives portfolios
- Large portfolio asymptotics for loss from default
- LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
- Pricing and hedging of quantile options in a flexible jump diffusion model
- Systemic risk in interbanking networks
Cited In (8)
- The pricing of basket options with default risk
- Markov chain approximation and measure change for time-inhomogeneous stochastic processes
- Static-arbitrage upper bounds for the prices of basket options
- Title not available (Why is that?)
- An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
- Smoothing the payoff for efficient computation of Basket option prices
- Pricing of arithmetic basket options by conditioning.
- Weak convergence for approximation of American option prices
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