American-type basket option pricing: a simple two-dimensional partial differential equation

DOI10.1080/14697688.2019.1588987MaRDI QIDQ5235458zbMATH OpenOpenAlexWikidataFDO

Authors Hamza Hanbali, D. Linders

Publication date 11 October 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://lirias.kuleuven.be/handle/123456789/648656

zbMATH Keywords

basket optionsBlack-Scholescomonotonicityfinite difference methodleast-squares Monte Carlopartial differential equationspricing and hedging

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stopping times; optimal stopping problems; gambling theory (60G40) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Pricing of basket options using dimension reduction and adaptive finite differences in space, and discontinuous Galerkin in time
• Numerical techniques for the valuation of basket options and their Greeks
• Implied stopping rules for American basket options from Markovian projection
• Pricing of arithmetic basket options by conditioning.
• Numerical valuation of Bermudan basket options via partial differential equations

Cites work

• A mixed derivative terms removing method in multi-asset option pricing problems
• ADI schemes for higher-order nonlinear diffusion equations.
• ADI schemes for pricing American options under the Heston model
• An easy computable upper bound for the price of an arithmetic Asian option
• Arbitrage Theory in Continuous Time
• Bounds for Asian basket options
• Comonotonic asset prices in arbitrage-free markets
• Comonotonicity and maximal stop-loss premiums
• Default probabilities of a holding company, with complete and partial information
• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
• General closed-form basket option pricing bounds
• High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions
• scientific article; zbMATH DE number 3665495 (Why is no real title available?)
• scientific article; zbMATH DE number 193884 (Why is no real title available?)
• scientific article; zbMATH DE number 841285 (Why is no real title available?)
• scientific article; zbMATH DE number 3045283 (Why is no real title available?)
• Martingale methods in financial modelling.
• Numerical solution of two asset jump diffusion models for option valuation
• On an optimization problem related to static super-replicating strategies
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Pricing and hedging American-style options: a simple simulation-based approach
• Pricing of arithmetic basket options by conditioning.
• Static super-replicating strategies for a class of exotic options
• Statistical Analysis of Financial Data in S-Plus
• Stochastic covariance and dimension reduction in the pricing of basket options
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The multivariate Black \& Scholes market: conditions for completeness and no-arbitrage
• The multivariate variance gamma model: basket option pricing and calibration
• Upper and lower bounds for sums of random variables

Cited in

(2)

• Implied stopping rules for American basket options from Markovian projection
• Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables

Describes a project that uses

Uses Software

• R
• MASS (R)

This page was built for publication: American-type basket option pricing: a simple two-dimensional partial differential equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5235458)