Approximate basket options valuation for a jump-diffusion model
From MaRDI portal
Publication:659118
DOI10.1016/j.insmatheco.2009.05.012zbMath1231.91450OpenAlexW3122867727MaRDI QIDQ659118
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/18532
Related Items
Lower bound approximation of nonlinear basket option with jump-diffusion ⋮ Pricing and hedging basket options with exact moment matching ⋮ APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH ⋮ On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation ⋮ Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method ⋮ LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS ⋮ Contagion models a la carte: which one to choose? ⋮ General closed-form basket option pricing bounds ⋮ Semi-implicit FEM for the valuation of American options under the Heston model
Cites Work
- Unnamed Item
- Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
- Static super-replicating strategies for a class of exotic options
- The concept of comonotonicity in actuarial science and finance: theory.
- The concept of comonotonicity in actuarial science and finance: applications.
- Pricing of arithmetic basket options by conditioning.
- On Asian option pricing for NIG Lévy processes
- Static-arbitrage upper bounds for the prices of basket options
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- The value of an Asian option
This page was built for publication: Approximate basket options valuation for a jump-diffusion model
