An extension of the chaos expansion approximation for the pricing of exotic basket options
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Publication:4585895
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Cites work
- An asymptotic expansion approach to pricing financial contingent claims
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Does the Hurst index matter for option prices under fractional volatility?
- Efficient Monte Carlo pricing of European options using mean value control variates
- Long memory in continuous-time stochastic volatility models
- Numerical techniques for the valuation of basket options and their Greeks
- Pricing Asian options with stochastic volatility
- The Malliavin Calculus and Related Topics
- The Valuation of Path Dependent Contracts on the Average
- The pricing of options and corporate liabilities
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
Cited in
(13)- Pricing basket options by polynomial approximations
- Pricing of Asian-type and basket options via bounds
- Bounds on prices for Asian options via Fourier methods
- Artificial neural network for option pricing with and without asymptotic correction
- A unified approach for the pricing of options relating to averages
- Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
- Pricing of proactive hedging European option with dynamic discrete position strategy
- An analytical approximation for pricing VWAP options
- Pricing and hedging basket options with exact moment matching
- AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES
- WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING
- Pricing exotic options and American options: a multidimensional asymptotic expansion approach
- A chaos expansion approach under hybrid volatility models
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