An extension of the chaos expansion approximation for the pricing of exotic basket options
DOI10.1080/1350486X.2013.812855zbMATH Open1396.91727OpenAlexW2058698505MaRDI QIDQ4585895FDOQ4585895
Authors: Hideharu Funahashi, Masaaki Kijima 
Publication date: 11 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2013.812855
Recommendations
- Pricing basket options by polynomial approximations
- A chaos expansion approach under hybrid volatility models
- Pricing exotic options and American options: a multidimensional asymptotic expansion approach
- Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
- Moment matching approximation of Asian basket option prices
local volatilitybasket optionAsian basket optionaverage optionWiener-Ito chaos expansionspread option
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- The pricing of options and corporate liabilities
- The Malliavin Calculus and Related Topics
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Long memory in continuous-time stochastic volatility models
- An asymptotic expansion approach to pricing financial contingent claims
- Efficient Monte Carlo pricing of European options using mean value control variates
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- Pricing Asian options with stochastic volatility
- Does the Hurst index matter for option prices under fractional volatility?
- The Valuation of Path Dependent Contracts on the Average
- Numerical techniques for the valuation of basket options and their Greeks
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
- AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES
- Pricing and hedging basket options with exact moment matching
- 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
This page was built for publication: An extension of the chaos expansion approximation for the pricing of exotic basket options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4585895)
