Pricing and hedging basket options to prespecified levels of acceptability

DOI10.1080/14697680902878113MaRDI QIDQ3577149zbMATH OpenOpenAlexFDO

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

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)

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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)

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

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