Pricing basket options by polynomial approximations
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Publication:670300
DOI10.1155/2016/9747394zbMath1435.91198OpenAlexW2528991317WikidataQ59125239 ScholiaQ59125239MaRDI QIDQ670300
Alexander Alvarez, Pablo Olivares
Publication date: 18 March 2019
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2016/9747394
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for trigonometric approximation and interpolation (65T40)
Cites Work
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- A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
- The multivariate normal distribution
- Chebyshev interpolation for parametric option pricing
- An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions
- Closed Form Approximations for Spread Options
- Multi-asset spread option pricing and hedging
- Pricing and Hedging Spread Options
- Numerical Methods for Special Functions
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