Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method

DOI10.1016/j.insmatheco.2010.08.008zbMath1231.91451arXiv1003.1848MaRDI QIDQ661267

Harry Zheng, Guoping Xu

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.1848

zbMATH Keywords

asymptotic expansion; diffusion model; basket options pricing; forward PIDE; local volatility jump

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91B70: Stochastic models in economics

91G20: Derivative securities (option pricing, hedging, etc.)

35R09: Integro-partial differential equations

Related Items

Asymptotic Expansion Approach in Finance, Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model, APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH, LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS, LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS, An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets, Model risk and discretisation of locally risk-minimising strategies, On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model

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