LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
DOI10.1142/S0219024914500071zbMath1290.91168arXiv1212.3147OpenAlexW3125138325MaRDI QIDQ5411991
Publication date: 25 April 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1212.3147
second-order asymptotic expansionlower bound approximationbasket options valuationlocal volatility jump-diffusion model
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20) PDEs with randomness, stochastic partial differential equations (35R60)
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Cites Work
- Approximate basket options valuation for a jump-diffusion model
- Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
- Pricing of arithmetic basket options by conditioning.
- The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
- General Lower Bounds for Arithmetic Asian Option Prices
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- The value of an Asian option
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