ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING

DOI10.1111/j.1467-9965.2011.00481.xzbMath1272.91118OpenAlexW3122160740MaRDI QIDQ4919615

Carol Alexander, Aanand Venkatramanan

Publication date: 14 May 2013

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00481.x

zbMATH Keywords

basket optionsanalytic approximationrainbow optionsbest-of and worst-of optionscompound exchange options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

A new concept of reliability system and applications in finance ⋮ Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets ⋮ Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory ⋮ A moment-based analytic approximation of the risk-neutral density of American options ⋮ Control variates and conditional Monte Carlo for basket and Asian options ⋮ A Monte Carlo multi-asset option pricing approximation for general stochastic processes ⋮ Measuring exposure to dependence risk with random Bernstein copula scenarios ⋮ The pricing of basket-spread options ⋮ General closed-form basket option pricing bounds

Cites Work

• Pricing Multi-Asset Options with an External Barrier
• The value of an Asian option
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• Unnamed Item
• Unnamed Item

This page was built for publication: ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING