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

DOI10.1016/J.COR.2006.02.020zbMATH Open1139.91336OpenAlexW2090990773MaRDI QIDQ2384584FDOQ2384584

Authors: Xun Li, Zhenyu Wu Edit this on Wikidata

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

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zbMATH Keywords

high-dimensionalapproximationmean-revertingBasket option

Mathematics Subject Classification ID

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

Cites Work

• A theory of the term structure of interest rates
• Title not available (Why is that?)
• An equilibrium characterization of the term structure
• Quasi-Monte Carlo Methods in Numerical Finance
• 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.

Cited In (7)

• The pricing of basket options: a weak convergence approach
• Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing
• Pricing and hedging basket options with exact moment matching
• An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
• A simple efficient approximation to price basket stock options with volatility smile
• 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

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