Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?

DOI10.1007/S11147-015-9115-6zbMATH Open1345.91074OpenAlexW1834055901MaRDI QIDQ315045FDOQ315045

Authors: Jacinto Marabel Romo 

Publication date: 19 September 2016

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-015-9115-6

Recommendations

• The research on pricing of European exchange options
• Multiasset derivatives and joint distributions of asset prices
• Pricing and hedging basket options with exact moment matching
• An extension of the chaos expansion approximation for the pricing of exotic basket options
• The effect of correlation and transaction costs on the pricing of basket options

zbMATH Keywords

stochastic volatilityequally weighted basket optionsmultifactoroutperformance optionsstochastic correlationworst-of options

Mathematics Subject Classification ID

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

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Title not available (Why is that?)
• Wishart processes
• Option pricing when correlations are stochastic: an analytical framework
• Riding on the smiles
• A multifactor volatility Heston model
• Derivative pricing with Wishart multivariate stochastic volatility
• Optimal positioning in derivative securities
• WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK

Uses Software

• Mathematica

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