European basket option pricing by maximizing over a subset of lower bounds

DOI10.2989/16073606.2012.742292zbMATH Open1274.91430OpenAlexW1985133081MaRDI QIDQ2862816FDOQ2862816

Authors: W. Mudzimbabwe, Kailash C. Patidar, P. J. Witbooi 

Publication date: 19 November 2013

Published in: Quaestiones Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2989/16073606.2012.742292

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zbMATH Keywords

variance reductionconditioningMonte Carlo simulationsantithetic variablesEuropean basket option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (6)

• The pricing of basket options: a weak convergence approach
• Sharp Upper and Lower Bounds for Basket Options
• Static-arbitrage optimal subreplicating strategies for basket options
• Lower bound approximation of nonlinear basket option with jump-diffusion
• Static-arbitrage upper bounds for the prices of basket options
• General closed-form basket option pricing bounds

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