On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices

DOI10.1016/J.COR.2006.02.020MaRDI QIDQ2384584zbMATH OpenOpenAlexFDO

Authors Xun Li, Zhenyu Wu

Publication date 10 October 2007

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2006.02.020

zbMATH Keywords

high-dimensionalapproximationmean-revertingBasket option

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Mean-variance hedging in continuous time
• On a semi-spectral method for pricing an option on a mean-reverting asset
• Pricing of arithmetic basket options by conditioning.
• Quasi-Monte Carlo Methods in Numerical Finance

Cited in

(7)

• The pricing of basket options: a weak convergence approach
• An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
• Pricing and hedging basket options with exact moment matching
• A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
• Analytical approximation method of option pricing under geometric mean-reverting process
• A simple efficient approximation to price basket stock options with volatility smile
• Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing

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