Pricing and hedging basket options to prespecified levels of acceptability

DOI10.1080/14697680902878113zbMATH Open1192.91183OpenAlexW3125558895MaRDI QIDQ3577149FDOQ3577149

Authors: Dilip B. Madan 

Publication date: 5 August 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902878113

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zbMATH Keywords

stochastic processesstochastic volatilitymathematical financeequity optionsLévy process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price

Cited In (6)

• SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS
• Three non-Gaussian models of dependence in returns
• The valuation of structured products using Markov chain models
• A convex quadratic semi-definite programming approach to the partial additive constant problem in multidimensional scaling
• A simple efficient approximation to price basket stock options with volatility smile
• Conic coconuts: the pricing of contingent capital notes using conic finance

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